BUG: CategoricalDtype does not support pd.NA
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import numpy as np
import pandas as pd

s = pd.Series([1, 2, pd.NA], dtype='category')
```

```
Out[3]:
0      1
1      2
2    NaN
dtype: category
Categories (2, int64): [1, 2]
```

#### Problem description
- `pd.NA` is inputted into the Series, but it is changed to `np.nan`. 
- Since the goal of pd.NA is to`provide a “missing” indicator that can be used consistently across data types`, the CategoricalDtype should support **pd.NA**

#### Expected Output
```
Out[3]:
0      1
1      2
2    <NA>
dtype: category
Categories (2, int64): [1, 2]
```

#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit           : 4291973e52cd7d14ccaaf565dbf7a6b978d1595e
python           : 3.8.5.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Thu Jun 18 20:49:00 PDT 2020; root:xnu-6153.141.1~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.0.dev0+482.g4291973e5
numpy            : 1.19.2
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.1.1
setuptools       : 49.6.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : 7.18.1
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None
</details>
