BUG: UserWarning: Could not import the lzma module. Your installed Python is incomplete. 
- [X] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the latest version of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas as pd

file = 'financial.csv'
df = pd.read_csv(file)

df.head(10)
```

#### Problem description

A simple csv import like the one above produce a user warning which arose since I had to move the HomeBrew directory into a custom location due to IT settings not letting me write anymore on the /usr/local.

I have since then reinstalled a fresh version of all the packages via pip as well as the zx module via homebrew. 

Accordingly to this [user](https://superuser.com/a/1277306/229674), he was able to resolve by adding the following command into the .zshrc

export LDFLAGS="-L$HOME/homebrew/opt/xz/lib $LDFLAGS"
export CPPFLAGS="-I$HOME/homebrew/opt/xz/include $CPPFLAGS"
export PKG_CONFIG_PATH="$HOME/homebrew/opt/xz/lib/pkgconfig $PKG_CONFIG_PATH"

#### Expected Output

No User Warning

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : f2ca0a2665b2d169c97de87b8e778dbed86aea07
python           : 3.8.5.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Thu Jun 18 20:49:00 PDT 2020; root:xnu-6153.141.1~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : en_GB.UTF-8

pandas           : 1.1.1
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.2
setuptools       : 47.1.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.3.3
lxml.etree       : None
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.17.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : 1.0.6
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
