I really think we should not vendor sphinx-gallery. It created a whole host of problems for trying to do the 0.18.2 release. I don't really see a benefit in vendoring it, given that we can always pin the version in the CI.

We could even require a particular version in our conf.py, but the version of sphinxgallery you need is much more dependent on the version of sphinx then the version of scikit-learn.
Since we don't vendor sphinx (and we really shouldn't), vendoring sphinxgallery will break things.