DOC: add whatsnew for #11920

Author: jorisvandenbossche

doc/source/whatsnew/v0.19.0.txt

@@ -409,6 +409,8 @@ Other enhancements
      df.sort_values(by='row2', axis=1)
 
 - Added documentation to :ref:`I/O<io.dtypes>` regarding the perils of reading in columns with mixed dtypes and how to handle it (:issue:`13746`)
+- Raise ImportError for in the sql functions when sqlalchemy is not installed and a connection string is used (:issue:`11920`).
+
 
 .. _whatsnew_0190.api: