BUG: Index constructor does not maintain CategoricalDtype

[jschendel]

• closes Index(data=..., dtype=CategoricalDtype(...)) doesn't maintain dtype #19032
• tests added / passed
• passes git diff upstream/master -u -- "*.py" | flake8 --diff
• whatsnew entry

[jschendel]

The IntervalIndex changes are more about future proofing; the dtype kwarg currently doesn't do anything for IntervalIndex, so there aren't really any tests that can be added. I plan to create a PR to allow conversion between subtypes and initializing with non-inferred subtype (e.g. interval[int64] to interval[float64]) where I believe the same issue will come into play, so figured I'd put this code in place now while it's fresh on my mind.

Also, switched from IntervalIndex.from_intervals to the IntervalIndex constructor since the constructor does everything from_intervals does, but has more features and better testing. Would eventually like to either remove from_intervals or just redirect it to the constructor.

[codecov]

Codecov Report

Merging #19048 into master will decrease coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           master   #19048      +/-   ##
==========================================
- Coverage   91.57%   91.56%   -0.01%     
==========================================
  Files         150      150              
  Lines       48942    48942              
==========================================
- Hits        44818    44816       -2     
- Misses       4124     4126       +2

Flag	Coverage Δ
#multiple	89.93% <100%> (-0.01%)	⬇️
#single	41.75% <66.66%> (ø)	⬆️

Impacted Files	Coverage Δ
pandas/core/indexes/base.py	96.45% <100%> (ø)	⬆️
pandas/util/testing.py	84.74% <0%> (-0.22%)	⬇️

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[jreback]

thanks!