BUG: Copying PeriodIndex levels on MultiIndex loses weakrefs
As per [comment](https://github.com/pandas-dev/pandas/pull/32669#issuecomment-605525216) by @jacobaustin123:

```python
import pandas as pd
idx = pd.MultiIndex.from_arrays([pd.PeriodIndex([pd.Period("2019Q1"), pd.Period("2019Q2")], name='b')])
idx2 = pd.MultiIndex.from_arrays([idx._get_level_values(level) for level in range(idx.nlevels)])
all(x.is_monotonic for x in idx2.levels) # raises an error
```

#### Problem description

The weakly referenced PeriodIndex er dropped before intended, so the ``PeriodEngine`` gets a ``None`` instead of the PeriodIndex.

#### Expected Output

The above should return True.
