Via #9041 (comment) - these changes make our docs easier to read in plaintext, and give us a single location to update if something we're referencing moves (e.g. the docs for an upstream package). Specifically, let's:

• Ensure that we're using intersphinx for all our frequently-referenced docs
• Check for manual links which could use intersphinx in CI
  (using something like @hoefling's special builder, which I want to copy for my projects)
• Use extlinks for other patterns like Pytest issues and PRs

See sphinx-doc/sphinx#9626 for upstream progress on this; we'll adopt the checker once it's released by Sphinx ✨