BUG: disallow scalar in Categorical constructor
- [x] closes #38433
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

We could also easily deprecate this first. I don't know if others would rely on it, but at least we did ourselves (the behaviour was explicitly tested) indifferent here. am ok pushing this thru or deprecating.  doesn't this duplicate #38614 (or vice versa) > doesn't this duplicate #38614 (or vice versa)

no.  one is for Categorical, the other for CategoricalIndex > > doesn't this duplicate #38614 (or vice versa)
> 
> no. one is for Categorical, the other for CategoricalIndex

ok.

should we deprecate this? i agree its very weird, but i suppose it might happen in the real world. Given that we had tests for it, and that it is actually also allowed for Series, I would go for deprecation first (it shouldn't be hard I think?)