BUG: Groupy dropped nan groups from result when grouping over single column
- [x] closes #35646
- [x] closes #35542
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

When grouping over 2 columns with only ``nans`` this raised an error previously. Realised this, when running tests for my fix, because this case was tests with one grouping column. Added test to cover fixed behavior for more than one column.

cc @mroeschke  Takes same path as two or more grouping columns now.