Add Sphinx correctness checking for our docs to CI

[jli]

• Make sure latest docs build without errors
  • Use -n for nitpicky mode. Generates some warnings about bad links we should fix.
• Consider checking validity of links? (sphinx-build -b linkcheck docs docs/_build/linkcheck)
  • Sphinx 3.2.0 added checking for local links, which causes a bunch of false positives. Think we can fix by using references instead of links.