Problems to pickle pipelines in the 1.21.0

### Problem description

Users reported that they were able to train the models without any big issue, but when they tried to pickle using `cloudpickle==0.8.1` they had the following error:

```
_pickle.PicklingError: Can't pickle typing.Union[str, float]: it's not the same object as typing.Union
```

cc: @pedroig 