DOC: use new pydata-sphinx-theme name
Following https://github.com/pandas-dev/pydata-sphinx-theme/issues/102, need to use the new package name

We could actually also start using the released version. But going to merge this soon when CI passes (as I think doc build in other PRs will start to fail)
Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.0.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 bfa29f10d4115fada208848e6e7756040525e42d
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #32840: DOC: use new pydata-sphinx-theme name'
```

4. Push to a named branch :

```
git push YOURFORK 1.0.x:auto-backport-of-pr-32840-on-1.0.x
```

5. Create a PR against branch 1.0.x, I would have named this PR:

> "Backport PR #32840 on branch 1.0.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                