At least XlsxWriter supports writing to buffers but the ExcelWriter constructors try to read the extension of the supplied path, so it fails when you initialise it as ExcelWriter(buf, engine="xlsxwriter").
Currently you can hack that into pandas using
b = BytesIO()
w = ExcelWriter("data.xlsx", engine="xlsxwriter")
w.book = xlsxwriter.Workbook(b)
df.to_excel(w)
w.save()
b.getvalue()
but it would of course be nice if this just worked out-of-the-box. I'll try to build a PR for that.
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