Fix parse empty df
 - [x] closes #14515 
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``
 - [x] whatsnew entry

This commit fixes a bug where `read_csv` failed when given a file with a multiindex header and empty content. Because pandas reads index names as a separate line following the header lines, the reader looks for the line with index names in it. If the content of the dataframe is empty, the reader will choke. This bug surfaced after https://github.com/pandas-dev/pandas/issues/6618 stopped writing an extra line after multiindex columns, which led to a situation where pandas could write CSV's that it couldn't then read. 

This commit changes that behavior by explicitly checking if the index name row exists, and processing it correctly if it doesn't.