BUG: Fix issue in preserving index name on empty DataFrame
- [x] closes #36527
- [x] tests added / passed
   - `tests/indexing/test_partial.py:tesst_index_name_empty`
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
   - v1.1.3
