BUG: Fix Index constructor with mixed closed Intervals
- [X] closes #27172
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

Note that this solution uses the same pattern that's used to support a list of mixed frequency `Period` objects:
https://github.com/pandas-dev/pandas/blob/527e714647a16ad31f80ea535af5a63156515861/pandas/core/indexes/base.py#L444-L448