BUG: read_csv raises IndexError when index_col is passed
- [X] I have checked that this issue has not already been reported.

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

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

---

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

```python
import io
import pandas as pd

pd.read_csv(io.StringIO('a0, a1, a2\n    b0, b1, b2\n'), header=[0, 1], index_col=0)
```

#### Problem description

This is a legal, if empty, csv. Note that variations such as

```pd.read_csv(io.StringIO('a0, a1, a2\n'), header=[0], index_col=0)```,
```pd.read_csv(io.StringIO('a0, a1, a2\n    b0, b1, b2\n'), header=[0, 1])```, and
```pd.read_csv(io.StringIO('a0, a1, a2\n    b0, b1, b2\ndata,data'), header=[0, 1], index_col=0)``` work fine.

#### Expected Output

```
Empty DataFrame
Columns: [( a1,  b1), ( a2,  b2)]
Index: []
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : 67a3d4241ab84419856b84fc3ebc9abcbe66c6b3
python           : 3.9.0.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 19.6.0
Version          : Darwin Kernel Version 19.6.0: Thu Jun 18 20:49:00 PDT 2020; root:xnu-6153.141.1~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.4
numpy            : 1.19.4
pytz             : 2020.4
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 49.2.1
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : 7.19.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
