DOC: add note on str cons to read_sql (pandas-dev#35503)

Author: AdamSpannbauer

pandas/io/sql.py

@@ -439,7 +439,8 @@ def read_sql(
     con : SQLAlchemy connectable, str, or sqlite3 connection
         Using SQLAlchemy makes it possible to use any DB supported by that
         library. If a DBAPI2 object, only sqlite3 is supported. The user is responsible
-        for engine disposal and connection closure for the SQLAlchemy connectable. See
+        for engine disposal and connection closure for the SQLAlchemy connectable; str
+        connections are closed automatically. See
         `here <https://docs.sqlalchemy.org/en/13/core/connections.html>`_.
     index_col : str or list of str, optional, default: None
         Column(s) to set as index(MultiIndex).