BUG: df.to_markdown() with empty frame incorrect output
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd

df = pd.DataFrame({'id': [], 'first_name': [], 'last_name': []}).set_index('id')
print(df.to_markdown())
```
```
| id   | first_name   | last_name   |
||
```

#### Problem description

The markdown output of empty DataFrames does not seem right to me (see Expected Output).

#### Expected Output

```
| id   | first_name   | last_name   |
|-----:|-------------:|------------:|
```

#### Render difference

##### Current

| id   | first_name   | last_name   |
||


##### Expected

| id   | first_name   | last_name   |
|-----:|-------------:|------------:|


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

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 85 Stepping 4, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.0.1
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.0
pip              : 19.2.3
setuptools       : 41.4.0
Cython           : 0.29.13
pytest           : 5.2.1
hypothesis       : None
sphinx           : 2.2.0
blosc            : None
feather          : None
xlsxwriter       : 1.2.1
lxml.etree       : 4.4.1
html5lib         : 1.0.1
pymysql          : None
psycopg2         : 2.8.4 (dt dec pq3 ext lo64)
jinja2           : 2.10.3
IPython          : 7.8.0
pandas_datareader: None
bs4              : 4.8.0
bottleneck       : 1.2.1
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.1.1
numexpr          : 2.7.0
odfpy            : None
openpyxl         : 3.0.0
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : 5.2.1
pyxlsb           : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : 1.3.12
tables           : 3.5.2
tabulate         : 0.8.6
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.2.1
numba            : 0.45.1

</details>
