BUG: Allow IntervalIndex to be constructed from categorical data with appropriate dtype
- [X] closes #21243
- [X] closes #21253
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

Added this to 0.23.1 since it's a regression and the fix is a minor change outside the `IntervalIndex` class.  Not opposed to pushing to 0.24.0 if backporting this could be problematic.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21254?src=pr&el=h1) Report
> Merging [#21254](https://codecov.io/gh/pandas-dev/pandas/pull/21254?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/c85ab083919b59ce84c220d5baf7d34ff4a0bcf2?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/21254/graphs/tree.svg?token=eZ4WkYLtcO&src=pr&height=150&width=650)](https://codecov.io/gh/pandas-dev/pandas/pull/21254?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21254      +/-   ##
==========================================
+ Coverage   91.84%   91.84%   +<.01%     
==========================================
  Files         153      153              
  Lines       49538    49540       +2     
==========================================
+ Hits        45499    45501       +2     
  Misses       4039     4039
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.24% <100%> (ø)` | :arrow_up: |
| #single | `41.87% <50%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21254?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/interval.py](https://codecov.io/gh/pandas-dev/pandas/pull/21254/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9pbnRlcnZhbC5weQ==) | `93.16% <100%> (+0.02%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21254?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/21254?src=pr&el=footer). Last update [c85ab08...770fe10](https://codecov.io/gh/pandas-dev/pandas/pull/21254?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @jschendel 