BUG: Retain tz-aware dtypes with melt (#15785)
- [x] closes #15785
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

`.values` call was converting tz aware data to tz naive data (by casting to a numpy array). Added an additional test for Categorical data as well.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=h1) Report
> Merging [#20292](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/31afaf858604ab85665b54b92f40cef19d69a28d?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/20292/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #20292      +/-   ##
==========================================
+ Coverage   91.72%   91.73%   +<.01%     
==========================================
  Files         150      150              
  Lines       49165    49174       +9     
==========================================
+ Hits        45099    45108       +9     
  Misses       4066     4066
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.11% <100%> (ø)` | :arrow_up: |
| #single | `41.86% <28.57%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/reshape/melt.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9tZWx0LnB5) | `97.34% <100%> (+0.14%)` | :arrow_up: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `95.84% <0%> (-0.01%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.18% <0%> (ø)` | :arrow_up: |
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.02% <0%> (ø)` | :arrow_up: |
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.66% <0%> (ø)` | :arrow_up: |
| [pandas/core/strings.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc3RyaW5ncy5weQ==) | `98.32% <0%> (ø)` | :arrow_up: |
| [pandas/core/resample.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzYW1wbGUucHk=) | `96.43% <0%> (ø)` | :arrow_up: |
| [pandas/core/groupby.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS5weQ==) | `92.14% <0%> (ø)` | :arrow_up: |
| [pandas/core/indexes/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZXMucHk=) | `95.64% <0%> (ø)` | :arrow_up: |
| [pandas/plotting/\_core.py](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb3JlLnB5) | `82.27% <0%> (ø)` | :arrow_up: |
| ... and [2 more](https://codecov.io/gh/pandas-dev/pandas/pull/20292/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=continue).
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> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=footer). Last update [31afaf8...abe48c9](https://codecov.io/gh/pandas-dev/pandas/pull/20292?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks!