BUG: initialize DatetimeIndex with array of strings (#4229)
Possibly a fix for #4229.

The rationale is that an array of strings should be handled in the same way as a list of strings (after applying `np.asarray(list)`), and I supposed that the list was handling the timezone correctly.
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More in detail:
- handling of the list of strings: https://github.com/pydata/pandas/blob/master/pandas/tseries/index.py#L196 => returning `data`
- handling of an array of strings: https://github.com/pydata/pandas/blob/master/pandas/tseries/index.py#L211 =>  returning directly `subarr`

Because in the case of an array `subarr` is set as a DatetimeIndex (instead of as `.values` attribute of it => array of datetime64), the array is not localized to UTC (https://github.com/pydata/pandas/blob/master/pandas/tseries/index.py#L249) but assumed to be UTC. So, in fact, the `tz` keyword is ignored.
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Something else: it is not completely clear what the `tz` keyword is supposed to do (it is not documented in the DatetimeIndex docstring). But I assumed it is to say that the given values to DatetimeIndex are in that timezone (and so the behaviour with a list is correct). However, it is also a little bit strange that eg `to_datetime` has not such of a keyword then.
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PS: the PR is not ready (I want to add some tests, release notes, and there is too much whitespace in the commit), but I just wanted to submit it already to see if this makes sense.

change looks good
FYI usually I write the test first to make sure that a) test breaks as expected and b) code change fixes the problem 
 @jreback I know that is the better order to do things, but I used the issue as a test

Regarding to adding the test, it seems like it could go in either `test_timeseries.py` (together with all other tests on DatetimeIndex construction tests) or `test_timezones.py` (together with all different tests dealing with timezones). Any preference to where I put it?
 your choice (just put the issue number as a comment)

I try to group the tests with like tests - emphasis on try :)
 @jreback OK, I added test + release note.
 @jorisvandenbossche can u rebase? thanks
 @cpcloud Done I think
 thanks @jorisvandenbossche 
 Thank you very much @jorisvandenbossche and @jreback 
