Add a link checker step in the doctests jobs and fix broken links that appear

[agriyakhetarpal]

Currently, we use Lychee to check for broken links, but we ignore a lot of Sphinx-related links because of referencing files internally. Sphinx provides a linkcheck builder for this purpose that can be invoked in CI for checking links (either through a new nox session, or within the docs session using posargs, or just calling the command directly).

It might make sense to rename the Lychee workflow to something like links.yml and add a parallel job to run the above command instead of another step.