ENH: Support Multi-Index for columns in parquet format
#### Is your feature request related to a problem?

I would like to save DataFrame with Multi-Index used for columns into parquet format.
This is currently not possible.

```python
import pandas as pd
df = pd.DataFrame([[1,2,3],[4,5,6],[7,8,9]], columns= pd.MultiIndex.from_product([['1'],['a', 'b', 'c']]))
df.to_parquet('test.parquet')
""" doesn't work, whatever the engine """
ValueError: parquet must have string column names
```

#### Describe alternatives you've considered

To do so with actual state of library, a [piece of code has been shared on SO](https://stackoverflow.com/questions/54861430/how-do-i-save-multi-indexed-pandas-dataframes-to-parquet).
I will use it for now.

```python
import pyarrow as pa
import pyarrow.parquet as pq
table = pa.Table.from_pandas(df)
pq.write_table(table, 'test.parquet')
df_test_read = pd.read_parquet('test.parquet')
```

Thanks for your help!
Bests,