Add type hints to dtypes/dtypes.py (CategoricalDtype)
This PR adds type hints to pandas/core/dtypes/dtypes.py down to and including the ``CategoricalDtype`` part of the module. I'm more familiar with Categoricals than DateTimeArrays etc. and because I think there are some difficulties in implementing type hints, I think it would make sense to add a general ruleset for adding type hints to pandas, before too much work is put into this.

I'm putting some thoughts up for discussion in #25601 about how we add type hints to pandas, that probably should be discussed before this goes further.
