TST: Test CategoricalIndex in test_is_categorical
Title is self-explanatory.

Follow-up to #16237.

thanks # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=h1) Report
> Merging [#16243](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/1a0c878f733c5fc2b37e6f6ab655e943685036f9?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16243/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16243      +/-   ##
==========================================
- Coverage   90.34%   90.33%   -0.02%     
==========================================
  Files         164      164              
  Lines       50890    50890              
==========================================
- Hits        45978    45969       -9     
- Misses       4912     4921       +9
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.11% <ø> (ø)` | :arrow_up: |
| #single | `40.3% <ø> (-0.11%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/dtypes/common.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZHR5cGVzL2NvbW1vbi5weQ==) | `94.75% <ø> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.58% <0%> (-0.1%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16243?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/16243?src=pr&el=footer). Last update [1a0c878...c476d0e](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=h1) Report
> Merging [#16243](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/1a0c878f733c5fc2b37e6f6ab655e943685036f9?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16243/graphs/tree.svg?src=pr&width=650&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16243      +/-   ##
==========================================
- Coverage   90.34%   90.33%   -0.02%     
==========================================
  Files         164      164              
  Lines       50890    50890              
==========================================
- Hits        45978    45969       -9     
- Misses       4912     4921       +9
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.11% <ø> (ø)` | :arrow_up: |
| #single | `40.3% <ø> (-0.11%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/dtypes/common.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZHR5cGVzL2NvbW1vbi5weQ==) | `94.75% <ø> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.58% <0%> (-0.1%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16243?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/16243?src=pr&el=footer). Last update [1a0c878...c476d0e](https://codecov.io/gh/pandas-dev/pandas/pull/16243?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
