BUG: unpicking panda data frame requires "latin1" encoding
- [Y ] I have checked that this issue has not already been reported.

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

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

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

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

```python
# Your code here
#!/usr/bin/env python3

import pandas as pd 
import pickle


df = pd.read_csv("Factory_Entries_AWS.csv")

with open("Factory_Entries_AWS_p3.pkl","wb") as f:
    pickle.dump(df, f)

with open("Factory_Entries_AWS_p3.pkl","rb") as f:
    df1 = pickle.load(f)

pd.testing.assert_frame_equal(df.sort_index(axis=1), df1.sort_index(axis=1), check_names=True)

with open("Factory_Entries_AWS_p2.pkl","rb") as f:
    df2 = pickle.load(f, encoding='bytes')

pd.testing.assert_frame_equal(df.sort_index(axis=1), df2.sort_index(axis=1),check_names=True)

```

#### Problem description

The above code fails when unpickling data frame from pickle file created with python2 with the following error:

```
# python3 p3.py
Traceback (most recent call last):
  File "p3.py", line 18, in <module>
    df2 = pickle.load(f, encoding='bytes')
  File "/usr/local/lib/python3.6/site-packages/pandas-1.0.1-py3.6-linux-x86_64.egg/pandas/core/indexes/base.py", line 174, in _new_Index
    return cls.__new__(cls, **d)
TypeError: __new__() keywords must be strings

```

[this should explain **why** the current behavior is a problem and why the expected output is a better solution]

replacing `'bytes'` with `'latin1'` solves the problem. The prescribed method of unpicking python2 objects in python3 is to use `'bytes'` encoding. Why does it fail here?

#### Expected Output

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

<details>

[paste the output of ``pd.show_versions()`` here leaving a blank line after the details tag]

>>> pd.show_versions()

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.6.8.final.0
python-bits      : 64
OS               : Linux
OS-release       : 3.10.0-1127.el7.x86_64
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.1
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 9.0.3
setuptools       : 46.1.3
Cython           : None
pytest           : 5.3.5
hypothesis       : None
sphinx           : 3.0.3
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : 2.8.5 (dt dec pq3 ext lo64)
jinja2           : 2.11.2
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : 5.3.5
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : 0.8.3
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : None

</details>
