STYLE: Inconsistent namespace - Indexes (#39992)
- [ ] closes #xxxx
- [ ] tests added / passed
- [X] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [X] whatsnew entry

Don't think tests apply here. By itself, does not close 39992.