MAINT: replace os.path with pathlib.Path

[rth]

This package does a lot of path manipulations, and it would be nice to use pathlib.Path more. See https://treyhunner.com/2018/12/why-you-should-be-using-pathlib/ for motivation of using pathlib.

This is particularly useful in combination with typing #316 since path then would be of type Path instead of str. The code would also be much sorter (less of os.path.join everywhere) and more readable.

A potential maintenance task cc @SofianChay

[kegl]

I second it.