MultiIndex created from column with NaN only values has an empty level
#### Code Sample, a copy-pastable example if possible

```python
        df = pd.DataFrame(dict(a=['a1', 'a2', 'a3', 'a3'], b=[np.nan, np.nan, np.nan, np.nan], d=['d1', 'd1', np.nan, 'd2'], c=['c1', 'c2', 'c3', 'c4']))
        df = df.set_index(keys=['b', 'a']).sort_index()
        print(df.index.levels)
        print(len(df.index.intersection([(np.nan, 'a1')])))
[[], ['a1', 'a2', 'a3']]
0
```
#### Problem description

MultiIndex created from column with NaN only values has an empty level. While ```contains``` and ```loc``` still work, ```intersection``` method behaves incorrectly not returning empty results. 

#### Expected Output

[[np.nan], ['a1', 'a2', 'a3']]
1

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

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 3.7.1.final.0
python-bits: 64
OS: Linux
OS-release: 4.18.0-21-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.24.2
pytest: None
pip: 19.0.3
setuptools: 40.8.0
Cython: None
numpy: 1.16.3
scipy: None
pyarrow: None
xarray: None
IPython: None
sphinx: None
patsy: None
dateutil: 2.8.0
pytz: 2019.1
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: None
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml.etree: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: 0.10.0
pandas_datareader: None
gcsfs: 0.2.2
None

</details>
