ENH: Add link checker GHA workflow file

[jhlegarreta]

Add link checker GHA workflow file: use the lychee action to check for broken links in Markdown, HTML, reStructuredText, and other files.

Repository: https://github.com/lycheeverse/lychee-action Documentation: https://lychee.cli.rs/introduction/

PR Checklist

• [X] No API changes were made (or the changes have been approved)
• [X] No major design changes were made (or the changes have been approved)