BUG: DataFrame with index having tzlocal() timezone could not be saved to parquet
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

If Dataframe has index which timezone is set to `dateutil.tz.tzlocal()`, it could not be saved to parquet.

It might be related to #24310

#### Code Sample, a copy-pastable example

```python
from dateutil.tz import tzlocal
ind = pd.date_range('2020-02-01','2020-04-14').tz_localize(tzlocal())
x = pd.DataFrame([[1,2]]*len(ind), index=ind, columns=['A','B'])
x.to_parquet('tmp.parquet')
```

#### Problem description

The code raises `ValueError: Unable to convert timezone "tzlocal()" to string`.

However saving to e.g. CSV works well:
```python
x.to_csv('tmp.csv')
```

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.1.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 18.7.0
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : en_US.UTF-8
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.3
numpy            : 1.18.2
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 42.0.1.post20191125
Cython           : None
pytest           : 5.3.0
hypothesis       : None
sphinx           : 2.2.0
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.4.1
html5lib         : None
pymysql          : 0.9.3
psycopg2         : 2.8.5 (dt dec pq3 ext lo64)
jinja2           : 2.10.1
IPython          : 7.13.0
pandas_datareader: None
bs4              : 4.6.3
bottleneck       : None
fastparquet      : 0.3.2
gcsfs            : None
lxml.etree       : 4.4.1
matplotlib       : 3.1.3
numexpr          : 2.7.0
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 0.16.0
pytables         : None
pytest           : 5.3.0
pyxlsb           : None
s3fs             : 0.4.2
scipy            : 1.3.1
sqlalchemy       : 1.3.13
tables           : 3.4.4
tabulate         : None
xarray           : None
xlrd             : 1.1.0
xlwt             : None
xlsxwriter       : None
numba            : 0.46.0
</details>
