DEPR: DatetimeIndex.union with mixed timezones (#41458)

Author: jbrockmendel

doc/source/whatsnew/v1.3.0.rst

@@ -645,6 +645,7 @@ Deprecations
 - The ``inplace`` parameter of :meth:`Categorical.remove_categories`, :meth:`Categorical.add_categories`, :meth:`Categorical.reorder_categories`, :meth:`Categorical.rename_categories`, :meth:`Categorical.set_categories` is deprecated and will be removed in a future version (:issue:`37643`)
 - Deprecated :func:`merge` producing duplicated columns through the ``suffixes`` keyword  and already existing columns (:issue:`22818`)
 - Deprecated setting :attr:`Categorical._codes`, create a new :class:`Categorical` with the desired codes instead (:issue:`40606`)
+- Deprecated behavior of :meth:`DatetimeIndex.union` with mixed timezones; in a future version both will be cast to UTC instead of object dtype (:issue:`39328`)
 - Deprecated using ``usecols`` with out of bounds indices for ``read_csv`` with ``engine="c"`` (:issue:`25623`)
 
 .. ---------------------------------------------------------------------------

pandas/core/indexes/base.py

@@ -2930,6 +2930,21 @@ def union(self, other, sort=None):
                     "Can only union MultiIndex with MultiIndex or Index of tuples, "
                     "try mi.to_flat_index().union(other) instead."
                 )
+            if (
+                isinstance(self, ABCDatetimeIndex)
+                and isinstance(other, ABCDatetimeIndex)
+                and self.tz is not None
+                and other.tz is not None
+            ):
+                # GH#39328
+                warnings.warn(
+                    "In a future version, the union of DatetimeIndex objects "
+                    "with mismatched timezones will cast both to UTC instead of "
+                    "object dtype. To retain the old behavior, "
+                    "use `index.astype(object).union(other)`",
+                    FutureWarning,
+                    stacklevel=2,
+                )
 
             dtype = find_common_type([self.dtype, other.dtype])
             if self._is_numeric_dtype and other._is_numeric_dtype:

pandas/tests/indexes/datetimes/test_timezones.py

@@ -1146,7 +1146,10 @@ def test_dti_union_aware(self):
 
         rng2 = date_range("2012-11-15 12:00:00", periods=6, freq="H", tz="US/Eastern")
 
-        result = rng.union(rng2)
+        with tm.assert_produces_warning(FutureWarning):
+            # # GH#39328 will cast both to UTC
+            result = rng.union(rng2)
+
         expected = rng.astype("O").union(rng2.astype("O"))
         tm.assert_index_equal(result, expected)
         assert result[0].tz.zone == "US/Central"