BUG: silently ignoring dtype kwarg in Index.__new__
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

ATM we handle object but not others, xref #21311
nice cleanup. needs a rebase. should we consider deprecating `dtype=` keyword in the constructor? > should we consider deprecating dtype= keyword in the constructor?

my hope/goal is for `Index.__new__`, `Series.__init__`, and pd.array` to share most of their code, so probably not