BUG: add a whatsnew record (pandas-dev#39189)

Author: nofarmish

doc/source/whatsnew/v1.3.0.rst

@@ -330,6 +330,9 @@ I/O
 - Bug in :func:`read_csv` not switching ``true_values`` and ``false_values`` for nullable ``boolean`` dtype (:issue:`34655`)
 - Bug in :func:`read_json` when ``orient="split"`` does not maintain numeric string index (:issue:`28556`)
 - :meth:`read_sql` returned an empty generator if ``chunksize`` was no-zero and the query returned no results. Now returns a generator with a single empty dataframe (:issue:`34411`)
+- Bug in :func:`read_hdf` returning unexpected records when filtering on categorical string columns using ``where`` parameter (:issue:`39189`)
+
+
 
 Period
 ^^^^^^