Attempt to fix doc building issue

Recent sklearn changes to BaseEstimator seems to break the documentation. See microsoft/LightGBM#5956.

docs/source/conf.py

@@ -30,6 +30,7 @@
 intersphinx_mapping = {
     "python": ("https://docs.python.org/3/", None),
     "sphinx": ("https://www.sphinx-doc.org/en/master/", None),
+    "sklearn": ("https://scikit-learn.org/stable/", None),
 }
 intersphinx_disabled_domains = ["std"]