Add checks of URLs with lychee

Zebedee Nichollsrequested to merge
lychee into main

Description

Example of a run in a GitHub repo: https://github.com/openscm/continuous-timeseries/actions/runs/12636649381/job/35209187500

Checklist

Please confirm that this pull request has done the following:

  • (N/A) Tests added
  • (N/A) Documentation added (where applicable)
  • Changelog item added to changelog/
Edited by Zebedee Nicholls

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