Make ParallelClustering picklable, fixing memory caching in Mapper pipelines

[ulupo]

Reference issues/PRs
Fixes #596

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)

Description
Fixed by avoiding using lambdas and added a regression test.

Screenshots (if appropriate)

Any other comments?

Checklist

• I have read the guidelines for contributing.
• My code follows the code style of this project. I used flake8 to check my Python changes.
• My change requires a change to the documentation.
• I have updated the documentation accordingly.
• I have added tests to cover my changes.
• All new and existing tests passed. I used pytest to check this on Python tests.