TST: Groupby first/last/nth nan column test
- [X] xref https://github.com/pandas-dev/pandas/issues/33591#issuecomment-615365647
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

The first two asserts (`first()`/`last()`) fail on `1.0.3`, as expected.