TST: Adding test to concat where copy=False for ExtensionArrays
The test ensures that ExtensionArrays are correctly constructed when
concat(copy=False) is used.

- [x] closes #20756
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

thanks @dwhu 