Support pyg

[jwong8314]

Description

Motivation and Context

• I have raised an issue to propose this change (required for new features and bug fixes)

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation (update in the documentation)

Checklist

• I've read the CONTRIBUTION guide (required)
• I have updated the changelog accordingly (required).
• My change requires a change to the documentation.
• I have updated the tests accordingly (required for a bug fix or a new feature).
• I have updated the documentation accordingly.
• I have opened an associated PR on the SB3-Contrib repository (if necessary)
• I have opened an associated PR on the RL-Zoo3 repository (if necessary)
• I have reformatted the code using make format (required)
• I have checked the codestyle using make check-codestyle and make lint (required)
• I have ensured make pytest and make type both pass. (required)
• I have checked that the documentation builds using make doc (required)

Note: You can run most of the checks using make commit-checks.

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