DOC: add whatsnew for pandas-dev#17882

Author: jorisvandenbossche

doc/source/whatsnew/v0.21.1.txt

@@ -86,6 +86,8 @@ I/O
 - Bug in :meth:`DataFrame.to_csv` when the table had ``MultiIndex`` columns, and a list of strings was passed in for ``header`` (:issue:`5539`)
 - :func:`read_parquet` now allows to specify the columns to read from a parquet file (:issue:`18154`)
 - :func:`read_parquet` now allows to specify kwargs which are passed to the respective engine (:issue:`18216`)
+- Bug in parsing integer datetime-like columns with specified format in ``read_sql`` (:issue:`17855`).
+
 
 Plotting
 ^^^^^^^^