Handling different var spaces in `Loader

[ilan-gold]

Description of feature

For handling different var spaces, this should in theory be pretty doable but can go through a number of routes:

1. Wrap in anndata.AnnData and do a concat operation
2. Wait until after denseification and apply a global index
3. Do the indexing per-anndata-chunk-array (which may have different performance than 2)
4. Yield different arrays with different spaces and leave it up to the user