Update CHANGELOG.md

Author: ddkohler

CHANGELOG.md

@@ -8,6 +8,9 @@ The format is based on [Keep a Changelog](https://keepachangelog.com/).
 ### Fixed
 - fixed bug where numpy>2.4 broke `data.join`
 
+### Changed
+- per [PEP 765](https://peps.python.org/pep-0765/), `return` is removed from `finally` blocks
+
 ## [3.6.1]
 
 ### Changed