Description of proposed changes

This PR adds a workflow to check external links in plaintext and HTML files, using action https://github.com/lycheeverse/lychee-action.

• External links in the ReST, Markdown and Python files in the master branch are checked
• External links in the dev documentation (https://www.pygmt.org/dev/) are checked
• Internal links are NOT checked, but when we build the documentation, we should see the warnings if internal links are broken.
• Links to PRs and issues are excluded, because they are unlikely to be broken
• The workflow runs weekly. If broken links (404) are detected, it will report an issue (see Link Checker Report #927 for an example, in which I added a broken link https://www.pygmt.org/abc/def for testing).

FYI, the workflow takes 50 seconds to check >1000 links. See the workflow runs in https://github.com/GenericMappingTools/pygmt/runs/1931775335?check_suite_focus=true.

Fixes #535

Reminders

• Run make format and make check to make sure the code follows the style guide.
• Add tests for new features or tests that would have caught the bug that you're fixing.
• Add new public functions/methods/classes to doc/api/index.rst.
• Write detailed docstrings for all functions/methods.
• If adding new functionality, add an example to docstrings or tutorials.