The newton_cg solver for GLMs and TweedieRegression in particular was proposed in #9405 , it might be good to add it.

Preliminary benchmarks for it were done in #9405 (comment) .

If we add it, it would be good to re-use _newton_cg function from sklearn/utils/optimize.py as much as possible (also related #14248).

Also see: #16634 #16637