Allow to union `MultiIndex` with empty `RangeIndex`
- [x] closes #41234
- [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

See also https://github.com/dask/dask/issues/7610 and https://github.com/JDASoftwareGroup/kartothek/issues/464. The regression seems to have been introduced in  pandas-dev/pandas#38671.