ENH: add nthreads option to feather-format IO

[jreback]

closes #16359

[codecov]

Codecov Report

Merging #16476 into master will increase coverage by <.01%.
The diff coverage is 75%.

@@            Coverage Diff             @@
##           master   #16476      +/-   ##
==========================================
+ Coverage   90.42%   90.42%   +<.01%     
==========================================
  Files         161      161              
  Lines       51029    51031       +2     
==========================================
+ Hits        46143    46145       +2     
  Misses       4886     4886

Flag	Coverage Δ
#multiple	88.26% <75%> (ø)	⬆️
#single	40.17% <75%> (ø)	⬆️

Impacted Files	Coverage Δ
pandas/io/feather_format.py	85.71% <75%> (-2.17%)	⬇️
pandas/core/indexes/datetimes.py	95.33% <0%> (+0.09%)	⬆️

---

Continue to review full report at Codecov.

Legend - Click here to learn more
Δ = absolute <relative> (impact), ø = not affected, ? = missing data
Powered by Codecov. Last update 692a5b9...61583fc. Read the comment docs.