CI: Better error control in the validation of docstrings (pandas-dev#57879)

* CI: Better error control in the validation of docstrings

* Fix CI errors

* Fixing tests

* Update scripts/validate_docstrings.py

Co-authored-by: Matthew Roeschke <[email protected]>

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Co-authored-by: Matthew Roeschke <[email protected]>

Author: 2 people