Make doc build fail if internal link broken

[dstansby]

Is Your Feature Request Related to a Problem? Please Describe

I had a broken internal link in #335, but the doc bulid didin't fail.

Describe the Solution You'd Like

The doc build should fail if an internal link is broken.

Describe Alternatives You've Considered

No response

Additional Context

No response

[dstansby]

I think we have linkchecker working for internal links now, certainly it was failing in #432