[python-package] fix mypy errors about custom eval functions in sklearn.py (#5721)

python-package/lightgbm/sklearn.py

@@ -178,7 +178,11 @@ class _EvalFunctionWrapper:
         """
         self.func = func
 
-    def __call__(self, preds: np.ndarray, dataset: Dataset) -> Tuple[str, float, bool]:
+    def __call__(
+        self,
+        preds: np.ndarray,
+        dataset: Dataset
+    ) -> Union[_LGBM_EvalFunctionResultType, List[_LGBM_EvalFunctionResultType]]:
         """Call passed function with appropriate arguments.
 
         Parameters