 BUG-22796 Concat multicolumn tz-aware DataFrame
- [X] closes #22796 
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

Numpy arrays don't have the datetimetz dtype, so I just passed through the DatetimeIndex directly.

Side note: There's another small bug (I think) where np.nan or pd.NaT takes on the dtype of the column instead of the row when concatenating, but the column should instead have an object dtype.
