DOC: Updated convert_dtype of Series.apply
- [x] closes #39580
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

This updates the docs for parameter convert_dtype in pandas.Series.apply and adds dtypes for which the original dtype is kept. 
