BUG: fix convert_dtypes to handle empty df
Added a conditional to check a DataFrame had at least one column and if not return the original (empty) DataFrame if so.

- [x] closes #40393
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry
