Add GH Action to check for broken links in docs

[dlebauer]

To put in a test that finds broken links, we could add a GH Action to check for broken links on build.

This should check both external links and internal references.

This seems to be a popular GHA https://github.com/marketplace/actions/lychee-broken-link-checker, but there may be others

It isn't clear where to put this in the build process, but we don't want unrelated PRs to be held up because of transient (or permanent) changes to external links.