BUG: Let CategoricalIndex take CategoricalDtype as dtype argument
- [x ] closes #18109 
- [x ] tests added / passed
- [ x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ x] whatsnew entry

This PR allows CategoricalIndex to take CategoricalDtype as its dtype argument, see #18109 for details.
lgtm. can you add a release note, 0.21.1 is good. # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=h1) Report
> Merging [#18116](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/8388a47b7b09d345f463fe5fe91f32e87f7bb550?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18116/graphs/tree.svg?src=pr&width=650&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18116      +/-   ##
==========================================
+ Coverage   91.25%   91.26%   +<.01%     
==========================================
  Files         163      163              
  Lines       50124    50124              
==========================================
+ Hits        45742    45745       +3     
+ Misses       4382     4379       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.32% <100%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `97.46% <100%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.2% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=footer). Last update [8388a47...016f08c](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=h1) Report
> Merging [#18116](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/8388a47b7b09d345f463fe5fe91f32e87f7bb550?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18116/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18116      +/-   ##
==========================================
+ Coverage   91.25%   91.26%   +<.01%     
==========================================
  Files         163      163              
  Lines       50124    50124              
==========================================
+ Hits        45742    45745       +3     
+ Misses       4382     4379       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.32% <100%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `97.46% <100%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.2% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=footer). Last update [8388a47...016f08c](https://codecov.io/gh/pandas-dev/pandas/pull/18116?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Pinging at green @jreback. thanks!