Warn when creating `Period` with a string that includes timezone information
- [x] closes #47005
- [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).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions. -- no 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.

## ~~Note on the new `DateTimeWarning`~~

~~I added the `DateTimeWarning` for this specific case and the warnings raised in #22549 because the commonly used `UserWarning` is often not appropriate. There are lots of conceivable situations where this warning may be raised due to design choices in Pandas as opposed to user error. `DateTimeWarning` inherits from `UserWarning` to remain backwards compatible. This trail of thought applies to much of the datetime functionality in Pandas but that's beyond the scope of this PR.~~
> we don't need a special warning here just use the standard UserWarning

Done.

I was just thinking it's not good UX if we raise `UserWarning` for things that are not necessarily mistakes by the user which I've seen a few examples. But then there's not really a better Warning in the built-in Exceptions except perhaps `Warning`. @jreback can this be merged? I implemented your requested change the day I opened the merge request. This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. > This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this.

I'm still interested in working on this but I'm swamped with other things right now. I'll get to it later this year. Hi @joooeey - is this still active? Shall we close for now and can revisit when you have time? Hi @MarcoGorelli! I might have time to do all the changes from my side this weekend or on Tuesday. If I don't get to it, I'll close the PR next week (for the time being). Thanks for the pull request, but it appears to have gone stale. If interested in continuing, please merge in the main branch, address any review comments and/or failing tests, and we can reopen. I think the "W" parts of this have recently been fixed separately, would be good to see this revived.  @joooeey up for it? In principle, I'm up for it. I've kept this on my backlog all this time. But I can't give a timeline.