Add link checker for the documentation

[orhun]

Description

Adds https://lychee.cli.rs/ as a link checker to the CI

Screenshots

Type 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)
• This change requires a documentation update

Checklist

• I have read the CONTRIBUTING.md document.
• My code follows the code style of this project.
• I have added tests to cover my changes.
• All new and existing tests passed.
• I have updated the README.md as necessary if there are changes.
• I have tested the changes on my local machine before submitting the PR.