MyPy CI Configuration
- [X] closes #14468

I think this is the minimal amount of work required to get MyPy configured for CI. Note that the list of files is the only [documented](https://mypy.readthedocs.io/en/latest/running_mypy.html#reading-a-list-of-files-from-a-file) way to whitelist things that I could find (see also https://github.com/python/mypy/issues/1476)

I think we want to add this to the Checks_and_doc job though I couldn't see where that was actually configured (maybe an access thing on Azure?) so can do as a quick follow up

@jreback @gwrome 