API: Return Index from DatetimeIndex/PeriodIndex.strftime
- [x] closes #20127
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I will update the docstring after #20103 is merged.
@reidy-p merged the pre-cursor, can you rebase # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20240?src=pr&el=h1) Report
> Merging [#20240](https://codecov.io/gh/pandas-dev/pandas/pull/20240?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/30e0006f5435fbbe9302387b8513e0ef1134b012?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/20240/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/20240?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #20240      +/-   ##
==========================================
- Coverage   91.77%   91.76%   -0.02%     
==========================================
  Files         152      150       -2     
  Lines       49196    49151      -45     
==========================================
- Hits        45151    45102      -49     
- Misses       4045     4049       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.14% <100%> (-0.02%)` | :arrow_down: |
| #single | `41.9% <0%> (+0.08%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/20240?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/datetimelike.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZWxpa2UucHk=) | `96.72% <100%> (ø)` | :arrow_up: |
| [pandas/io/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2h0bWwucHk=) | `86.6% <0%> (-2.19%)` | :arrow_down: |
| [pandas/io/formats/format.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvZm9ybWF0LnB5) | `96.26% <0%> (-1.99%)` | :arrow_down: |
| [pandas/core/algorithms.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvYWxnb3JpdGhtcy5weQ==) | `94.17% <0%> (-0.13%)` | :arrow_down: |
| [pandas/compat/\_\_init\_\_.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvbXBhdC9fX2luaXRfXy5weQ==) | `57.62% <0%> (-0.12%)` | :arrow_down: |
| [pandas/core/arrays/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvYXJyYXlzL2NhdGVnb3JpY2FsLnB5) | `95.06% <0%> (-0.06%)` | :arrow_down: |
| [pandas/core/ops.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvb3BzLnB5) | `96.35% <0%> (ø)` | :arrow_up: |
| [pandas/core/strings.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc3RyaW5ncy5weQ==) | `98.32% <0%> (ø)` | :arrow_up: |
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.02% <0%> (ø)` | :arrow_up: |
| [pandas/plotting/\_core.py](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb3JlLnB5) | `82.27% <0%> (ø)` | :arrow_up: |
| ... and [15 more](https://codecov.io/gh/pandas-dev/pandas/pull/20240/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20240?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/20240?src=pr&el=footer). Last update [30e0006...af8b19d](https://codecov.io/gh/pandas-dev/pandas/pull/20240?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @reidy-p keep em coming!