REGR: ensure closed attribute of IntervalIndex is preserved in pickle roundtrip
Closes #35658

cc @jbrockmendel 

(I suppose the long term way would rather to properly pickle the IntervalArray itself and restore from that, instead of restoring from the left/right arrays, but would rather leave such a change for 1.2)
thanks @jorisvandenbossche  @meeseeksdev backport 1.1.x