[BUG] Validate dtype when Int64Index, UInt64Index, or Float64Index are cons…
…tructed

- [x] closes #29539 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Done, but I don't think it's right yet, need to understand what goes on in test_coercion (shouldn't be necessary to allow Float64 index with integer dtype?)

UPDATE: fixed @jschendel thanks for your review :) I've updated my PR as per your suggestions Thanks for your reviews, @jreback and @jschendel , really appreciate it. Have updated the PR accordingly. @jschendel sure, done! Can you merge master to resolve the conflict in the whatsnew? Done - thanks for the approval! thanks @MarcoGorelli 