ENH: Add support for defaultdict as "dtype" in parser
- [x] closes #41574 
- [x] tests added / passed (1 test is modified)
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

# What is new:

Now defaultdict can be provides as dtype.

The implementation allows moving to supporting Iterable as dtype

