BUG: MultiIndex.union losing extension array dtype
- [ ] closes #xxxx (Replace xxxx with the Github issue number)
- [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).
- [x] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to 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.


This covers some cases only, will work on the remaining ones as a follow up
Ah no, sorry. This was not explicit enough. It does not work if we run into the ``algos.union_with_duplicates(lvals, rvals)`` code branch in ``_union()``. This is something for a follow up Thanks @phofl 