CI: fix mypy error
cc @jbrockmendel 
Neat, LGTM pending green both #37898 and #37872 we independently Green. 

The only downside here is that Index is part of the public API, so using Generic here means that the backing array becomes part of the public type interface and we may want to hide this as an implementation detail.

I think that I'll open another PR that justs ignores the error for now while we give this more thought.
 I'll close this, while we still have np.ndarray resolving to Any which masks errors, since it's not just Index._values but also __getitem__ still needs to be overloaded for the slice and use a typevar as a followon to #37898, so should do that first.