Adds option to remove thread check on sqlite persister for streamlit

[elijahbenizzy]

Streamlit uses multiple threads for execution, which can mess with the sqlite persister, which wants to be all on the same thread. This allows it to bypass the thread check with an option.

Checklist

• PR has an informative and human-readable title (this will be pulled into the release notes)
• Changes are limited to a single goal (no scope creep)
• Code passed the pre-commit check & code is left cleaner/nicer than when first encountered.
• Any change in functionality is tested
• New functions are documented (with a description, list of inputs, and expected output)
• Placeholder code is flagged / future TODOs are captured in comments
• Project documentation has been updated if adding/changing functionality.

[skrawcz]

Just go ahead and expose passing in connect kwargs. That will simplify things. E.g. for disabling the check for the same thread see kwargs you can pass to connect...