BUG: Frozensets are not supported as indices.
- [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.

---

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

```python
df = DataFrame.from_dict({'key': [frozenset([1])], 'value': [2]}).set_index('key')

k = frozenset([1])

k in df.index  # True

df.loc[[k]]  # OK
df.loc[k]  # raises: KeyError: "None of [Int64Index([1], dtype='int64', name='key')] are in the [index]"

df.value.loc[[k]]  # OK
df.value.loc[k]  # raises: KeyError: "None of [Int64Index([1], dtype='int64', name='key')] are in the [index]"
```

#### Problem description

Frozensets are hashable and could serve as indices. They are only partially supported in the current version:
- set a frozenset as index: OK,
- is frozenset in index: OK,
- index with a collection of frozensets: OK,
- index with a frozenset: KeyError.

This applies to both Series and DataFrame.

Full support would be nice.

#### Expected Output

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

<details>

```
INSTALLED VERSIONS
------------------
commit           : 2cb96529396d93b46abab7bbc73a208e708c642e
python           : 3.9.2.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 12, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.utf8

pandas           : 1.2.4
numpy            : 1.20.1
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 49.6.0.post20210108
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.3
IPython          : 7.21.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : 0.9.0
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.4
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.6.2
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None
```

</details>
