BUG: Fix DataFrame.groupby().apply() for NaN groups with dropna=False 
- [X] closes #35889 
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry in `v1.1.2.rst`
