Added entry in doc/source/whatsnew/v0.22.0.txt file to Bug Fixes section.

Author: kchomski

doc/source/whatsnew/v0.22.0.txt

@@ -89,6 +89,7 @@ Bug Fixes
 
 - Bug in ``pd.read_msgpack()`` with a non existent file is passed in Python 2 (:issue:`15296`)
 - Bug in ``DataFrame.groupby`` where key as tuple in a ``MultiIndex`` were interpreted as a list of keys (:issue:`17979`)
+- Bug in ``DataFrame.to_pickle()`` fails for .zip format (:issue:`17778`)
 
 Conversion
 ^^^^^^^^^^