API: union_categoricals in concat
Follow up of https://github.com/pydata/pandas/pull/13767 (this part was left out of the final merged version). Summary copied from there:

**Discussion: addition of new keyword to `concat` to union categoricals with different categories**

PR #13767 proposed to add a `union_categoricals` keyword to `concat`, which lets you concatenate categoricals with different categories (like the `union_categoricals` function does). Default would be False.

There was some discussion about the name to use. @wesm suggested to use a dict to pass type specific options. But that is maybe something we should first explore further to see if there are other use cases for such a construct?
