WIP: Make weekday_name field in DatetimeIndex categorical
- [x] closes #12993 
- [ ] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry
Work in progress. `DatetimeIndex` `CategoricalIndex` for `weekday_name` but accessing it from  `dt.weekday_name` still returns an `object` dtype