Pandas different between Python 2.7 and Python 3.5
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd
X = pd.DataFrame({'x': range(3)}, pd.Index(range(3), name='x'))
Y = X.x.apply(lambda x: pd.Series(range(x + 1), pd.Index(range(x + 1), name='y')))
Y.columns.names
```
#### Problem description

On Python 2.7, the above code results in:
```python
FrozenList([u'y'])
```
while on Python 3.5, the same code results in:
```python
FrozenList([None])
```
I see this difference between Python 2 and 3 for pandas 0.18.0, 0.19.2, and 0.20.1.

#### Expected Output
```python
FrozenList([u'y'])
```
Or at least consistency.
#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Windows
OS-release: 8.1
machine: AMD64
processor: Intel64 Family 6 Model 45 Stepping 7, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.0
nose: 1.3.7
pip: 8.1.2
setuptools: 27.2.0
Cython: 0.24.1
numpy: 1.10.4
scipy: 0.18.1
statsmodels: 0.6.1
xarray: None
IPython: 5.1.0
sphinx: 1.4.6
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.6.1
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.1
matplotlib: 1.5.3
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.42.0
</details>
