BUG: merge_ordered fails when left_by is set to more than one column
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

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

```python
import io, pandas
l = pandas.read_csv(io.StringIO('''
G H T 
g h 1   
g h 3  
'''), delim_whitespace=True)
r = pandas.read_csv(io.StringIO('''
T
2
'''), delim_whitespace=True)
pandas.merge_ordered(l, r, on=['T'], left_by=['G', 'H'])
```

#### Problem description

This fails:

```
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/lib/python3.8/site-packages/pandas/core/reshape/merge.py", line 290, in merge_ordered
    result, _ = _groupby_and_merge(
  File "/usr/lib/python3.8/site-packages/pandas/core/reshape/merge.py", line 162, in _groupby_and_merge
    merged[k] = key
  File "/usr/lib/python3.8/site-packages/pandas/core/frame.py", line 2938, in __setitem__
    self._set_item(key, value)
  File "/usr/lib/python3.8/site-packages/pandas/core/frame.py", line 3000, in _set_item
    value = self._sanitize_column(key, value)
  File "/usr/lib/python3.8/site-packages/pandas/core/frame.py", line 3636, in _sanitize_column
    value = sanitize_index(value, self.index, copy=False)
  File "/usr/lib/python3.8/site-packages/pandas/core/internals/construction.py", line 611, in sanitize_index
    raise ValueError("Length of values does not match length of index")
ValueError: Length of values does not match length of index
```

#### Expected Output

Not failing. Should return:

       G  H  T
    0  g  h  1
    1  g  h  3


For comparison, the above works fine if we use `left_by=['G']` and omit the `H` column entirely.

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

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.8.3.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.7.7-arch1-1
machine          : x86_64
processor        : 
byteorder        : little
LC_ALL           : None
LANG             : en_FYL.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.5
numpy            : 1.19.0
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.1.1
setuptools       : 49.1.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.1
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.16.1
pandas_datareader: None
bs4              : 4.9.1
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.1
matplotlib       : 3.2.2
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.0
sqlalchemy       : 1.3.18
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : None

</details>
