id,node_id,number,title,user,state,locked,assignee,milestone,comments,created_at,updated_at,closed_at,author_association,active_lock_reason,draft,pull_request,body,reactions,performed_via_github_app,state_reason,repo,type
672842007,MDU6SXNzdWU2NzI4NDIwMDc=,4307,Cannot create Dataset from DataFrame containing CategoricalIndex with Intervals,55156127,open,0,,,2,2020-08-04T14:35:02Z,2022-04-17T18:08:10Z,,CONTRIBUTOR,,,,"<!-- Please include a self-contained copy-pastable example that generates the issue if possible.

Please be concise with code posted. See guidelines below on how to provide a good bug report:

- Craft Minimal Bug Reports: http://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports
- Minimal Complete Verifiable Examples: https://stackoverflow.com/help/mcve

Bug reports that follow these guidelines are easier to diagnose, and so are often handled much more quickly.
-->

**What happened**:
Creating a Dataset from a DataFrame with a CategoricalIndex (where the categories are an IntervalIndex) raises the error:
```
TypeError: data type not understood
```

**What you expected to happen**:
I expected the output to be a Dataset object with the CategoricalIndex as one of the coordinates.

**Minimal Complete Verifiable Example**:

```python
import pandas as pd
import xarray as xr

df = pd.DataFrame({""name"": list(""abcdefghijk""), ""age"": range(11)})
df[""age_group""] = pd.cut(df[""age""], bins=5)
df = df.set_index([""name"", ""age_group""])

df.to_xarray()  # or xr.Dataset.from_dataframe(df)
```

**Environment**:

<details><summary>Output of <tt>xr.show_versions()</tt></summary>

INSTALLED VERSIONS
------------------
commit: None
python: 3.7.5 (default, Oct 25 2019, 10:52:18) 
[Clang 4.0.1 (tags/RELEASE_401/final)]
python-bits: 64
OS: Darwin
OS-release: 19.6.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.UTF-8
libhdf5: 1.10.4
libnetcdf: 4.6.1

xarray: 0.15.1
pandas: 1.0.3
numpy: 1.18.1
scipy: 1.4.1
netCDF4: 1.4.2
pydap: None
h5netcdf: None
h5py: None
Nio: None
zarr: None
cftime: 1.1.3
nc_time_axis: None
PseudoNetCDF: None
rasterio: 1.1.0
cfgrib: None
iris: None
bottleneck: None
dask: None
distributed: None
matplotlib: 3.1.3
cartopy: None
seaborn: 0.9.0
numbagg: None
setuptools: 46.4.0.post20200518
pip: 20.0.2
conda: 4.8.3
pytest: None
IPython: 7.13.0
sphinx: None

</details>
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672873111,MDExOlB1bGxSZXF1ZXN0NDYyODMzNzk3,4308,Fix typo,55156127,closed,0,,,1,2020-08-04T15:16:52Z,2020-08-04T16:21:27Z,2020-08-04T16:21:27Z,CONTRIBUTOR,,0,pydata/xarray/pulls/4308,"
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