BUG: Index constructor does not maintain CategoricalDtype
- [X] closes #19032
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19048?src=pr&el=h1) Report
> Merging [#19048](https://codecov.io/gh/pandas-dev/pandas/pull/19048?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/ab000a970025e1b50b41e10be73ee45b11b44db6?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19048/graphs/tree.svg?token=eZ4WkYLtcO&height=150&width=650&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/19048?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19048      +/-   ##
==========================================
- Coverage   91.57%   91.56%   -0.01%     
==========================================
  Files         150      150              
  Lines       48942    48942              
==========================================
- Hits        44818    44816       -2     
- Misses       4124     4126       +2
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.93% <100%> (-0.01%)` | :arrow_down: |
| #single | `41.75% <66.66%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19048?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/19048/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.45% <100%> (ø)` | :arrow_up: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/19048/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `84.74% <0%> (-0.22%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19048?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/19048?src=pr&el=footer). Last update [ab000a9...4080bc0](https://codecov.io/gh/pandas-dev/pandas/pull/19048?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks!