TST: add regression test for apply case from GH-31605
@jorisvandenbossche you wanted to put more tests in for this issue. I put the user reported code example into a test. Did you have anything else in mind? I didn't merge it with the above one since the above acted on an empty Dataframe.

- [x] closes #31605
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry
