BUG: Index constructor should not allow an ndarray with ndim > 2
#### Code Sample, a copy-pastable example if possible

On master:
```python
In [1]: import numpy as np; import pandas as pd; pd.__version__
Out[1]: '0.25.0.dev0+833.gad18ea35b'

In [2]: pd.Index(np.arange(8).reshape(2, 2, 2))
Out[2]: Int64Index([[[0, 1], [2, 3]], [[4, 5], [6, 7]]], dtype='int64')
```

If the first dimension is greater than 2 it appears to flatten but does not actually do so:
```python
In [3]: pd.Index(np.arange(12).reshape(3, 2, 2))
Out[3]: Int64Index([0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11], dtype='int64')

In [4]: _.values
Out[4]: 
array([[[ 0,  1],
        [ 2,  3]],

       [[ 4,  5],
        [ 6,  7]],

       [[ 8,  9],
        [10, 11]]])

```
#### Problem description
The `Index` constructor accepts ndarrays with ndim > 2 and will even convert them to specialized subclasses, e.g. `Int64Index`.

#### Expected Output
I'd expect the operations above to raise, or at the very least should result in an `object` dtype `Index`, though I'd prefer to raise.

xref #17246

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

<details>

INSTALLED VERSIONS
------------------
commit           : ad18ea35ba461a92b1ea2204f4edc55bb42e9d71
python           : 3.7.3.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.19.14-041914-generic
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 0.25.0.dev0+833.gad18ea35b
numpy            : 1.16.4
pytz             : 2019.1
dateutil         : 2.8.0
pip              : 19.1.1
setuptools       : 40.8.0
Cython           : 0.29.10
pytest           : 4.6.2
hypothesis       : 4.23.6
sphinx           : 1.8.5
blosc            : None
feather          : None
xlsxwriter       : 1.1.8
lxml.etree       : 4.3.3
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.5.0
pandas_datareader: None
bs4              : 4.7.1
bottleneck       : 1.2.1
fastparquet      : 0.3.0
gcsfs            : None
lxml.etree       : 4.3.3
matplotlib       : 3.1.0
numexpr          : 2.6.9
openpyxl         : 2.6.2
pandas_gbq       : None
pyarrow          : 0.11.1
pytables         : None
s3fs             : 0.2.1
scipy            : 1.2.1
sqlalchemy       : 1.3.4
tables           : 3.5.2
xarray           : 0.12.1
xlrd             : 1.2.0
xlwt             : 1.3.0
xlsxwriter       : 1.1.8

</details>
