This looks good, and the documentation build mostly works as expected. (If you want to take a look at it, you can download the doc build as an artifact from the test runs.)

The only minor problem is, that no thumbnail is generated for the gallery.

In theory, static thumbnails can be generated (https://sphinx-gallery.github.io/stable/auto_plotly_examples/plot_0_plotly.html#sphx-glr-auto-plotly-examples-plot-0-plotly-py). I just gave it a try, but I couldn't get it to work.

If you feel like spending some more time on this to try and figure out how to get thumbnail generation working, feel free to do so. Else, I'm happy to merge this as it is. I don't want to spend too much time on this, for a relatively minor visual problem.

Yes I noticed the same issue when I built the doc locally. Found a solution here: smarie/mkdocs-gallery#49 (comment). Basically we add kaleido to requirements-dev.txt for getting the png thumbnails, and add plotly.io._sg_scraper.plotly_sg_scraper to image_scrapers in docs/conf.py. I added a commit for this.

Awesome, looks perfect now. Thank you for adding this!