Index created from empty generator raises TypeError
#### Code Sample, a copy-pastable example if possible

```python
# returns Index([], dtype='object')
pd.Index([]) 

# returns Index(['a', 'b', 'c'], dtype='object')
pd.Index(x for x in ['a', 'b', 'c'])

# raises TypeError: Cannot infer number of levels from empty list
pd.Index(x for x in []) 

```
#### Problem description
The Index constructor accepts most generators/iterables without issue as if they were a realized list. However, if the generator is empty, it raises an error. This is different from the behavior of calling the Index constructor on an empty list. This is a regression since 0.19.2.

#### Expected Output

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

<details>
INSTALLED VERSIONS
------------------
commit: 576d5c6b76e039a411a7cc4c0de29813e2de0149
python: 3.6.5.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 62 Stepping 4, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.24.0.dev0+103.g576d5c6b7
pytest: 3.6.0
pip: 10.0.1
setuptools: 39.2.0
Cython: 0.28.3
numpy: 1.14.2
scipy: 1.0.0
pyarrow: 0.8.0
xarray: 0.10.6
IPython: 6.4.0
sphinx: 1.7.5
patsy: 0.5.0
dateutil: 2.7.3
pytz: 2018.4
blosc: None
bottleneck: 1.2.1
tables: 3.4.3
numexpr: 2.6.4
feather: 0.4.0
matplotlib: 2.2.2
openpyxl: 2.5.3
xlrd: 1.1.0
xlwt: 1.3.0
xlsxwriter: 1.0.5
lxml: 4.1.1
bs4: 4.6.0
html5lib: 1.0.1
sqlalchemy: 1.2.8
pymysql: 0.8.1
psycopg2: None
jinja2: 2.10
s3fs: 0.1.5
fastparquet: 0.1.5
pandas_gbq: None
pandas_datareader: None
</details>
