CI: Add lgtm.com integration to pull requests
Seems like [lgtm.com](https://lgtm.com) integration could be useful.  Was helpful in identifying an obscure potential issue fixed in #20563, and I've used it to find a couple other minor things.

Looks like both numpy and scikit-learn are using it as well.  Not sure exactly what their experience with it has been, but at the very least scikit-learn has kept it around for a while now.