BUG: groupby on columns does not work with Series
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

---

No groups are found when using a pd.Series instead of a list in a groupby(axis=1)

```python
>>> df = pd.DataFrame(np.arange(16).reshape(4, 4), columns=['A', 'B', 'C', 'D'])

>>> grouped_list_row = df.groupby([1, 2, 1, 2])
>>> print(f"number of elem list_row: {len(grouped_list_row)}")

>>> grouped_series_row = df.groupby(pd.Series([1, 2, 1, 2]))
>>> print(f"number of elem series_row: {len(grouped_series_row)}")

>>> grouped_list_column = df.groupby([1, 2, 1, 2], axis=1)
>>> print(f"number of elem list_column: {len(grouped_list_column)}")

>>> grouped_series_column = df.groupby(pd.Series([1, 2, 1, 2]), axis=1)
>>> print(f"number of elem series_column: {len(grouped_series_column)}")

number of elem list_row: 2
number of elem series_row: 2
number of elem list_column: 2
number of elem series_column: 0
```

#### Problem description

I would expect to have the same result with a list and with a pd.Series(list). 
Instead no groups are created
#### Expected Output
number of elem list_row: 2
number of elem series_row: 2
number of elem list_column: 2
number of elem series_column: **2**
#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 94 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : fr_FR.UTF-8
LOCALE           : None.None

pandas           : 1.0.3
numpy            : 1.17.1
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 18.1
setuptools       : 40.8.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.4.1
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.10.1
IPython          : 7.7.0
pandas_datareader: None
bs4              : 4.8.2
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.2.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.3.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : None
</details>
