ENH: Add FrozenList.union and .difference
Re-attempt of #15506.

Hopefully no doc slowdowns on Travis this time 🙏 ! (xref #15559)

Closes #15475.

No deprecation of `__add__` and `__iadd__` because we rely on overloading `+` internally when operating on array-likes (in general) in some cases (e.g. [here](https://github.com/pandas-dev/pandas/blob/62a15fa4071/pandas/core/reshape/melt.py#L82)).  In some cases, that array-like will be `FrozenList`.
Hello @gfyoung! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/core/indexes/frozen.py`](https://github.com/gfyoung/pandas/blob/570e9e3e425c83fe4776bdf0ab26099d8563bc47/pandas/core/indexes/frozen.py) !

 - There are no PEP8 issues in the file [`pandas/tests/indexes/test_frozen.py`](https://github.com/gfyoung/pandas/blob/570e9e3e425c83fe4776bdf0ab26099d8563bc47/pandas/tests/indexes/test_frozen.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=h1) Report
> Merging [#23394](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/9019582c45d17035098941a666a8b6072c13a357?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/23394/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #23394      +/-   ##
==========================================
+ Coverage   92.21%   92.21%   +<.01%     
==========================================
  Files         161      161              
  Lines       51187    51191       +4     
==========================================
+ Hits        47202    47206       +4     
  Misses       3985     3985
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.65% <100%> (ø)` | :arrow_up: |
| #single | `42.21% <57.14%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/frozen.py](https://codecov.io/gh/pandas-dev/pandas/pull/23394/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9mcm96ZW4ucHk=) | `92.1% <100%> (+0.43%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=footer). Last update [9019582...c1a375e](https://codecov.io/gh/pandas-dev/pandas/pull/23394?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback @jorisvandenbossche : Any thoughts on this? @jreback : Changes addressed, and all is green.  PTAL. @jreback : Any thoughts on this? LGTM thanks @gfyoung 