BUG: `pandas.Index` cannot be subclassed (despite saying it can be in the docs) 
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

#### Code Sample, a copy-pastable example

```python
import pandas


class CustomIndex(pandas.Index):

    def __new__(cls, data, **kwargs):
        return super().__new__(cls, data, **kwargs).view(cls)

    def __init__(self, data, **kwargs):
        super().__init__(self, data, **kwargs)


if __name__ == '__main__':
    index = CustomIndex([1,2,3])
    print(type(index), index)
```

The result is: `<class 'pandas.core.indexes.numeric.Int64Index'> Int64Index([1, 2, 3], dtype='int64')`

#### Problem description

In the [`pandas` docs](https://pandas.pydata.org/pandas-docs/stable/development/internals.html): "The motivation for having an Index class in the first place was to enable different implementations of indexing. This means that it’s possible for you, the user, to implement a custom Index subclass that may be better suited to a particular application than the ones provided in pandas."

#### Expected Output

`<class 'CustomIndex'> CustomIndex([1, 2, 3], dtype='int64')`

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

<details>

```
>>> pd.show_versions()

INSTALLED VERSIONS
------------------
commit           : 67a3d4241ab84419856b84fc3ebc9abcbe66c6b3
python           : 3.8.5.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 20.1.0
Version          : Darwin Kernel Version 20.1.0: Sat Oct 31 00:07:11 PDT 2020; root:xnu-7195.50.7~2/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.4
numpy            : 1.19.4
pytz             : 2020.4
dateutil         : 2.8.1
pip              : 20.2.4
setuptools       : 50.3.2
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : 7.19.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 2.0.0
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.4
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None
```

</details>
