gh-86509: Add link to Lib/_threading_local.py in threading docs (#101824)

Author: OTheDev

Doc/library/threading.rst

@@ -272,7 +272,7 @@ The instance's values will be different for separate threads.
  A class that represents thread-local data.
 
  For more details and extensive examples, see the documentation string of the
- :mod:`_threading_local` module.
+ :mod:`_threading_local` module: :source:`Lib/_threading_local.py`.
 
 
 .. _thread-objects: