BUG: When read_sql_query() returns no records and chunksize is specified, dtype is ignored.

[sergiykhan]

Pandas version checks

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• I have confirmed this bug exists on the main branch of pandas.

Reproducible Example

import pandas as pd
import sqlite3

type_map = {'a': int, 'b': str}

df = pd.DataFrame(columns=['a', 'b']).astype(type_map)

conn = sqlite3.connect(':memory:')

df.to_sql(
    'test',
    conn,
    index=False,
    if_exists='replace',
)

# Expected output:
df = pd.read_sql_query(
    'SELECT * FROM test',
    conn,
    dtype=type_map,
)
print(f'Without chunksize\n{df.dtypes}')

# Actual output when using chunksize:
for df in pd.read_sql_query(
    'SELECT * FROM test',
    conn,
    dtype=type_map,
    chunksize=100,
):
    print(f'With chunksize\n{df.dtypes}')

Without chunksize
a     int64
b    object
dtype: object

With chunksize
a    object
b    object
dtype: object

Issue Description

dtype is ignored when pd.read_sql_query() is used with chunksize and no records are returned.

Expected Behavior

Using the code above, the last statement should print

a    int64
b    object
dtype: object

Installed Versions

INSTALLED VERSIONS

commit : 8dab54d
python : 3.9.16.final.0
python-bits : 64
OS : Linux
OS-release : 5.10.102.1-microsoft-standard-WSL2
Version : #1 SMP Wed Mar 2 00:30:59 UTC 2022
machine : x86_64
processor : x86_64
byteorder : little
LC_ALL : en_US.UTF-8
LANG : en_US.UTF-8
LOCALE : en_US.UTF-8

pandas : 1.5.2
numpy : 1.23.2
pytz : 2022.2.1
dateutil : 2.8.2
setuptools : 65.0.0
pip : 22.3.1
Cython : None
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : None
html5lib : None
pymysql : None
psycopg2 : 2.9.3
jinja2 : 3.1.2
IPython : 8.4.0
pandas_datareader: None
bs4 : None
bottleneck : None
brotli : 1.0.9
fastparquet : None
fsspec : None
gcsfs : None
matplotlib : 3.5.3
numba : None
numexpr : None
odfpy : None
openpyxl : 3.0.10
pandas_gbq : None
pyarrow : None
pyreadstat : None
pyxlsb : None
s3fs : None
scipy : None
snappy : None
sqlalchemy : 1.4.40
tables : None
tabulate : None
xarray : None
xlrd : None
xlwt : None
zstandard : None
tzdata : 2022.2