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924002003,MDU6SXNzdWU5MjQwMDIwMDM=,5483,Cannot interpolate on a multifile .grib array. Single file works fine.,22743277,closed,0,,,1,2021-06-17T14:36:57Z,2022-04-09T15:50:24Z,2022-04-09T15:50:23Z,NONE,,,,"<!-- Please include a self-contained copy-pastable example that generates the issue if possible.

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**What happened**:
I have multiple .grib files that I am able to successfully open using the `xr.open_mfdataset()` function and the `cfgrib` engine.
However, I cannot interpolate the opened array due to a `NonImplementedError` from the `dask` package. Apparently, internally the interpolation requires some complicated slicing that is not yet there. The latitude and longitude are well within the stored grid. The interpolation works just fine if I open a single file using `xr.load_dataset('file.grb', engine='cfgrib')`.
Since the files are too big, I cannot just load the array completely or resave the array into a single file. So I was wondering whether you might have ideas of a workaround so that I could get to the values I need, until it's implemented in `dask`. Basically, I just need to extract (interpolate) all variables at a handful of locations.

**What you expected to happen**:
Interpolate the mutlifile grib array along latitude and longitude.

**Minimal Complete Verifiable Example**:

```python
dsmf = xr.open_mfdataset(glob('<root_path>/**/*.grb', recursive=True), engine='cfgrib', parallel = True, combine = 'nested', concat_dim='time')
dsmf.interp(latitude=48, longitude=12)
```

Result:
```
Traceback (most recent call last):
  File ""<input>"", line 1, in <module>
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\dataset.py"", line 2989, in interp
    obj = self if assume_sorted else self.sortby([k for k in coords])
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\dataset.py"", line 5920, in sortby
    return aligned_self.isel(**indices)
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\dataset.py"", line 2230, in isel
    var_value = var_value.isel(var_indexers)
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\variable.py"", line 1135, in isel
    return self[key]
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\variable.py"", line 780, in __getitem__
    data = as_indexable(self._data)[indexer]
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\xarray\core\indexing.py"", line 1312, in __getitem__
    return array[key]
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\dask\array\core.py"", line 1749, in __getitem__
    dsk, chunks = slice_array(out, self.name, self.chunks, index2, self.itemsize)
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\dask\array\slicing.py"", line 170, in slice_array
    dsk_out, bd_out = slice_with_newaxes(out_name, in_name, blockdims, index, itemsize)
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\dask\array\slicing.py"", line 192, in slice_with_newaxes
    dsk, blockdims2 = slice_wrap_lists(out_name, in_name, blockdims, index2, itemsize)
  File ""C:\tools\miniconda3\envs\my_env\lib\site-packages\dask\array\slicing.py"", line 238, in slice_wrap_lists
    raise NotImplementedError(""Don't yet support nd fancy indexing"")
NotImplementedError: Don't yet support nd fancy indexing
```

**Anything else we need to know?**:
Since the files are too big, I am unable to share for the moment, but I suspect the issue might be reproducible on any multifile grib combination.

**Environment**:

INSTALLED VERSIONS
------------------
commit: None
python: 3.8.10 | packaged by conda-forge | (default, May 11 2021, 06:25:23) [MSC v.1916 64 bit (AMD64)]
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 158 Stepping 13, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: ('English_United Kingdom', '1252')
libhdf5: 1.10.6
libnetcdf: 4.7.3
xarray: 0.18.2
pandas: 1.2.4
numpy: 1.20.3
scipy: 1.6.3
netCDF4: 1.5.6
pydap: None
h5netcdf: None
h5py: None
Nio: None
zarr: 2.8.3
cftime: 1.5.0
nc_time_axis: None
PseudoNetCDF: None
rasterio: None
cfgrib: 0.9.9.0
iris: None
bottleneck: None
dask: 2021.06.0
distributed: None
matplotlib: None
cartopy: None
seaborn: None
numbagg: None
pint: None
setuptools: 49.6.0.post20210108
pip: 21.1.2
conda: None
pytest: 6.2.4
IPython: None
sphinx: None


</details>
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