Groupby with function returning a tuple fails if index has a name
#### Code Sample

```python
import pandas as pd
print(pd.__version__)
idx = pd.date_range('2017-12-08', periods=6, freq='10D')
df = pd.DataFrame(np.arange(6), index=idx)
df.index.name = 'name'
df.groupby(lambda x: (x.year, x.month)).mean()
```

#### Problem description

In 0.21.0 (and 0.20.x), calling `groupy` with a function that returns a tuple on a DataFrame with a named index fails with `ValueError: Names should be list-like for a MultiIndex`. It seems to be caused by the index having a name. 

The sample works in 0.19.0, with the output below. The same code without `df.index.name = 'name'` works under 0.20 and 0.21.

#### Expected Output

```
            0
(2017, 12)  1
(2018, 1)   4
```
#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.3.final.0
python-bits: 64
OS: Darwin
OS-release: 16.7.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: en_US.UTF-8
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.21.0
pytest: None
pip: 9.0.1
setuptools: 38.2.4
Cython: 0.27.3
numpy: 1.13.3
scipy: None
pyarrow: None
xarray: None
IPython: 6.2.1
sphinx: None
patsy: None
dateutil: 2.6.1
pytz: 2017.3
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.1.0
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: None
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None
</details>
