check paths in `utils/documentation_tests.txt`
# What does this PR do?

This PR adds a new check to ensure the paths in `utils/documentation_tests.txt` are all valid, so doctest CI won't fail from the beginning.

related PR: #21314 - ~~We need to wait that PR merged before margining this one.~~ It's merged.

The effect of this PR 

<img width="800" alt="Screenshot 2023-01-26 111139" src="https://user-images.githubusercontent.com/2521628/214810581-4367c7d8-94b7-4534-94f6-b51d3582a5cb.png">

_The documentation is not available anymore as the PR was closed or merged._