"TypeError: unorderable types" in Python3 when column for MultiIndex contains tuple and int
#### Code Sample, a copy-pastable example if possible

```python
In [2]: df = pd.DataFrame([[2, 1], [4, (1,2)]]).set_index([0, 1])
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
/home/pietro/nobackup/repo/pandas/pandas/core/categorical.py in __init__(self, values, categories, ordered, name, fastpath)
    288             try:
--> 289                 codes, categories = factorize(values, sort=True)
    290             except TypeError:

/home/pietro/nobackup/repo/pandas/pandas/core/algorithms.py in factorize(values, sort, order, na_sentinel, size_hint)
    360         uniques, labels = safe_sort(uniques, labels, na_sentinel=na_sentinel,
--> 361                                     assume_unique=True)
    362 

/home/pietro/nobackup/repo/pandas/pandas/core/algorithms.py in safe_sort(values, labels, na_sentinel, assume_unique)
    258         # unorderable in py3 if mixed str/int
--> 259         ordered = sort_mixed(values)
    260     else:

/home/pietro/nobackup/repo/pandas/pandas/core/algorithms.py in sort_mixed(values)
    251                            dtype=bool)
--> 252         nums = np.sort(values[~str_pos])
    253         strs = np.sort(values[str_pos])

/usr/lib/python3/dist-packages/numpy/core/fromnumeric.py in sort(a, axis, kind, order)
    821         a = asanyarray(a).copy(order="K")
--> 822     a.sort(axis=axis, kind=kind, order=order)
    823     return a

TypeError: unorderable types: tuple() > int()

During handling of the above exception, another exception occurred:

TypeError                                 Traceback (most recent call last)
<ipython-input-2-b560307721b0> in <module>()
----> 1 df = pd.DataFrame([[2, 1], [4, (1,2)]]).set_index([0, 1])

/home/pietro/nobackup/repo/pandas/pandas/core/frame.py in set_index(self, keys, drop, append, inplace, verify_integrity)
   2907             arrays.append(level)
   2908 
-> 2909         index = MultiIndex.from_arrays(arrays, names=names)
   2910 
   2911         if verify_integrity and not index.is_unique:

/home/pietro/nobackup/repo/pandas/pandas/indexes/multi.py in from_arrays(cls, arrays, sortorder, names)
   1085         from pandas.core.categorical import _factorize_from_iterables
   1086 
-> 1087         labels, levels = _factorize_from_iterables(arrays)
   1088         if names is None:
   1089             names = [getattr(arr, "name", None) for arr in arrays]

/home/pietro/nobackup/repo/pandas/pandas/core/categorical.py in _factorize_from_iterables(iterables)
   2082         # For consistency, it should return a list of 2 lists.
   2083         return [[], []]
-> 2084     return map(list, lzip(*[_factorize_from_iterable(it) for it in iterables]))

/home/pietro/nobackup/repo/pandas/pandas/core/categorical.py in <listcomp>(.0)
   2082         # For consistency, it should return a list of 2 lists.
   2083         return [[], []]
-> 2084     return map(list, lzip(*[_factorize_from_iterable(it) for it in iterables]))

/home/pietro/nobackup/repo/pandas/pandas/core/categorical.py in _factorize_from_iterable(values)
   2054         codes = values.codes
   2055     else:
-> 2056         cat = Categorical(values, ordered=True)
   2057         categories = cat.categories
   2058         codes = cat.codes

/home/pietro/nobackup/repo/pandas/pandas/core/categorical.py in __init__(self, values, categories, ordered, name, fastpath)
    293                     # raise, as we don't have a sortable data structure and so
    294                     # the user should give us one by specifying categories
--> 295                     raise TypeError("'values' is not ordered, please "
    296                                     "explicitly specify the categories order "
    297                                     "by passing in a categories argument.")

TypeError: 'values' is not ordered, please explicitly specify the categories order by passing in a categories argument.
```
#### Problem description

I would understand the ``unorderable types`` error - after all, I'm asking to have different types in the index, and pandas maybe wants to compare them, and it can't (this error obviously only affects Python3). But then,

``` python
In [3]: pd.DataFrame([[2, 'a'], [4, (1,2)]]).set_index([0, 1])
Out[3]: 
Empty DataFrame
Columns: []
Index: [(2, a), (4, (1, 2))]
```
works fine, (even though ``'a' > (1,2)`` raises ``TypeError``), and even allows me to sort the resulting index! Moreover, [I understand this should be supported](https://github.com/pandas-dev/pandas/issues/11565#issuecomment-157691996).

#### Expected Output
``` python
Empty DataFrame
Columns: []
Index: [(4, 1), (2, (1, 2))]
```
#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Linux
OS-release: 4.7.0-1-amd64
machine: x86_64
processor: 
byteorder: little
LC_ALL: None
LANG: it_IT.utf8
LOCALE: it_IT.UTF-8

pandas: 0.19.0+473.gf65a641
pytest: 3.0.6
pip: 8.1.2
setuptools: 28.0.0
Cython: 0.23.4
numpy: 1.12.0
scipy: 0.18.1
xarray: None
IPython: 5.1.0.dev
sphinx: 1.4.8
patsy: 0.3.0-dev
dateutil: 2.5.3
pytz: 2015.7
blosc: None
bottleneck: 1.2.0
tables: 3.2.2
numexpr: 2.6.0
feather: None
matplotlib: 2.0.0rc2
openpyxl: 2.3.0
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: 0.999
httplib2: 0.9.1
apiclient: 1.5.2
sqlalchemy: 1.0.15
pymysql: None
psycopg2: None
jinja2: 2.8
s3fs: None
pandas_datareader: 0.2.1


</details>
