Backport PR #35440 on branch 1.1.x (BUG: CategoricalIndex.format)
Backport PR #35440: BUG: CategoricalIndex.format
flaky test

```
=========================== short test summary info ===========================
FAILED pandas/tests/io/parser/test_common.py::test_chunks_have_consistent_numerical_type[python]
= 1 failed, 72699 passed, 1743 skipped, 1054 xfailed, 58 warnings in 685.50s (0:11:25) =
```