[#16737] Index type for Series with empty data
- [x] closes #16737
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

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I picked up all the notes from #16737 where it was suggested to use `Index` over `RangeIndex` for empty data.
