Merge error on Categorical Interval columns
Failure on merging on Categorical columns which include intervals.
For instance, the following raises `TypeError: data type not understood`

```python
bins = np.arange(0, 91, 30)
df1 = pd.DataFrame(np.array([[1, 22], [2, 35], [3, 82]]),
                   columns=['Id', 'Dist']).set_index('Id')

df1['DistGroup'] = pd.cut(df1['Dist'], bins)

idx = pd.IntervalIndex.from_breaks(bins)
df2 = pd.DataFrame(np.array(['g1', 'g2', 'g3']), columns=['GroupId'], index=idx)
df2.index.name = 'DistGroup'

res = pd.merge(df1, df2, left_on='DistGroup', right_index=True).reset_index()

```

#### Expected Output

<table border="1" class="dataframe">  <thead>    <tr style="text-align: right;">      <th></th>      <th>Dist</th>      <th>DistGroup</th>      <th>GroupId</th>    </tr>  </thead>  <tbody>    <tr>      <th>0</th>      <td>22</td>      <td>(0, 30]</td>      <td>g1</td>    </tr>    <tr>      <th>1</th>      <td>35</td>      <td>(30, 60]</td>      <td>g2</td>    </tr>    <tr>      <th>2</th>      <td>82</td>      <td>(60, 90]</td>      <td>g3</td>    </tr>  </tbody></table>'

#### Output of ``pd.show_versions()``

<details>

[paste the output of ``pd.show_versions()`` here below this line]
INSTALLED VERSIONS
------------------
commit           : None
python           : 3.6.9.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 0.25.1
numpy            : 1.16.5
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.2.2
setuptools       : 41.0.1
Cython           : 0.29.13
pytest           : 5.0.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.3.3
html5lib         : 1.0.1
pymysql          : None
psycopg2         : 2.7.6.1 (dt dec pq3 ext lo64)
jinja2           : 2.10.1
IPython          : 7.8.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.3.3
matplotlib       : 3.1.1
numexpr          : 2.7.0
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : 1.3.7
tables           : 3.5.2
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None

</details>
