[ENH] KNN n_jobs and updated kneighbours method

[chrisholder]

Reference Issues/PRs

This PR depends on #2545

What does this implement/fix? Explain your changes.

This PR passes n_jobs to the pairwise distance function so that is now can run on multiple threads. In addition I changed the k_neighbors method to be compatible with sklearns which can be used in various ways. See: https://github.com/scikit-learn/scikit-learn/blob/98ed9dc73/sklearn/neighbors/_base.py#L763.

Does your contribution introduce a new dependency? If yes, which one?

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I have added the following labels to this PR based on the title: [ $\color{#FEF1BE}{\textsf{enhancement}}$ ].
I have added the following labels to this PR based on the changes made: [ $\color{#BCAE15}{\textsf{classification}}$, $\color{#5209C9}{\textsf{distances}}$ ]. Feel free to change these if they do not properly represent the PR.

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