[BUG] Reading multiindex, incorrectly names columns without name.
- [x] closes #12453
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

Fixed reading and writing of Multiindex. 
In a situation where Multiindex looked like this:

| One | Two |
| --- | --- |
| X |  |

it was changed to: 

| One | Two |
| --- | --- |
| X | X |
