API: allow read_pickle to read from strings (and not just files)

[jreback]

brought up in #5661 , #5894

omg #5954

[jreback]

should we have pd.read_pickles/pd.read_jsons/pd.read_msgpacks ?

Yeah, I thought of that. I think that'd be fine.

[jreback]

then could have read_csvs to be consistent, instead of constantly read_csv(StringIO(data)......)

should be straightforward to create these automatically in io/api.py even

All sounds good to me.