ENH: Parallelization support for pairwise correlation
- [X] closes #40956
- [X] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [X] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [X] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [X] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.


Used cython.parallel to parallelize the nancorr function. 

Looks like webAssembly/emscripten environments don't have OpenMP support. To get around this Im thinking of modifying the menson.build and setup.py files to conditionally include OpenMP compiler and linker flags only when not building for WebAssembly/Emscripten. (WIP) I'm positive on adding parallelization as is being done here, but negative without the proper framework for use across pandas. See https://github.com/pandas-dev/pandas/issues/43313. Thanks for the PR, but as mentioned the project needs to coordinate & decide a common pattern for parallelism before implementing it in any specific method yet, so closing as that discussion needs resolution first