BUG: Let IntervalIndex constructor override inferred closed
State: closed

- [X] closes #19370
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

Makes `IntervalIndex` constructor behavior consistent: the `closed` parameter, if specified, takes priority over the inferred `closed`.

Comments:
- Modified the `intervals_to_interval_bounds` function to optionally raise if mixed values of `closed` are  encountered instead of automatically raising.
   - Allow creating an `IntervalIndex` from mixed closed lists, e.g.`[Interval(0, 1, closed='left'), Interval(2, 3, closed='right')]`, only if `closed` is specified during construction.
  -  The above will still raise if `closed` is not passed to the constructor.
   - This appears to only be called in the constructor currently.
- Added an Interval subsection to the Bug Fixes section of the 0.24.0 whatsnew, since I anticipate that there will be a non-negligible number of interval related fixes.

Labels:
name: Bug
name: API Design
name: Interval
description: Interval data type

Comments:
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=h1) Report
> Merging [#21584](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/f1ffc5fae06a7294dc831887b0d76177aec9b708?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21584/graphs/tree.svg?width=650&src=pr&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21584      +/-   ##
==========================================
+ Coverage    91.9%    91.9%   +<.01%     
==========================================
  Files         153      153              
  Lines       49549    49546       -3     
==========================================
- Hits        45537    45536       -1     
+ Misses       4012     4010       -2
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.3% <100%> (ø)` | :arrow_up: |
| #single | `41.78% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/interval.py](https://codecov.io/gh/pandas-dev/pandas/pull/21584/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9pbnRlcnZhbC5weQ==) | `93.13% <100%> (-0.04%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/21584/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `85.27% <0%> (+0.2%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=footer). Last update [f1ffc5f...5fe0cb3](https://codecov.io/gh/pandas-dev/pandas/pull/21584?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).