BUG: Categorical.copy deep kwarg
Would close #26995 if I hadn't just updated that to reflect the fact that several other pandas-internal EAs don't handle the `deep` kwarg correctly.

- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry
