COMPAT: Objects construction compat with xarray.Dataset 
- [x] closes #12353
- [x] tests added 
- [ ] tests passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [ ] whatsnew entry

I'm changed the dict / mapping issue, but I can't get this part working (so the tests fail at the moment):

> But pd.Series(dict(xr.Dataset({'a': 2, 'b': 3}))) doesn't work either, because the values in the dict are 0-th dimension arrays, and Series doesn't unpack them (list(dict(xr.Dataset({'a': 2, 'b': 3})).values())[0] for the full code) 
> https://github.com/pydata/pandas/issues/12353#issuecomment-184968747

Is that a reasonable goal? Where would be a good place to do the conversion?
