BUG: Always cast to Categorical in lexsort_indexer
- [x] closes #36383
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Not sure if this is related, but I noticed a problem in Categorical.sort_values setting self._codes = foo instead of self._codes[:] = foo thanks @dsaxton 

 @jreback you milestone 1.2. change note in 1.1.3. which should it be? @jreback ok to backport? see https://github.com/pandas-dev/pandas/pull/36385#issuecomment-694275310 yeah this is ok thanks @meeseeksdev backport 1.1.x