BUG: DataFrame constructor with 2d list input to index
xref  #34471

The `DataFrame` constructor doesn't appear to be working correctly with 

```python
In [3]: pd.DataFrame([[1], [2]], index=[["a", "b"], ["c", "d"]])
Out[3]: 
     0
a c  1
b d  2
```

I *think* we might expect
```python
In [3]: pd.DataFrame([[1], [2]], index=[["a", "b"], ["c", "d"]])
Out[3]: 
     0
a b  1
c d  2
```

FTR I'm not versant with the context here (whether this is in fact expected and we should maybe update the docs or if there is something to change)