obj.fillna(fill_value) doesn't shallow copy if obj is an empty Series
While working on #32483 I bumped into the following issue:

#### Code Sample, a copy-pastable example if possible

```python
obj = pd.Series()
result = obj.fillna(0)
assert obj is not result  # raises AssertionError
```
#### Problem description

See `test_fillna` in the mentioned PR (or master when it is merged): With any value of `obj`, even if it is an empty `Index` the shallow copy is executed. This can potentially yield bugs related to unintended mutations of obj further down the road.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 343dd6751347b8a7ff67970c762d4b50e8038dfd
python           : 3.7.6.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.3.0
Version          : Darwin Kernel Version 19.3.0: Thu Jan  9 20:58:23 PST 2020; root:xnu-6153.81.5~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : de_DE.utf-8
LANG             : de_DE.utf-8export
LOCALE           : de_DE.UTF-8

pandas           : 1.1.0.dev0+698.g343dd6751.dirty
numpy            : 1.17.5
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.1
setuptools       : 45.1.0.post20200119
Cython           : 0.29.14
pytest           : 5.3.5
hypothesis       : 5.3.0
sphinx           : 2.3.1
blosc            : None
feather          : None
xlsxwriter       : 1.2.7
lxml.etree       : 4.4.2
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.10.3
IPython          : 7.11.1
pandas_datareader: None
bs4              : 4.8.2
bottleneck       : 1.3.1
fastparquet      : 0.3.2
gcsfs            : None
matplotlib       : 3.1.2
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.1
pandas_gbq       : None
pyarrow          : 0.15.1
pytables         : None
pyxlsb           : None
s3fs             : 0.4.0
scipy            : 1.4.1
sqlalchemy       : 1.3.13
tables           : 3.6.1
tabulate         : 0.8.6
xarray           : 0.14.1
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : 0.47.0

</details>
