BUG: in Python3 MultiIndex.from_tuples cannot take "zipped" tuples
MultiIndex.from_tuples accept zipped tuples in python 3. Ensures compatibility
between 2 and 3.

- [x] closes #18434 
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
