BUG: read_csv raising IndexError with multiple header cols, specified index_col and no data rows
- [x] closes #38292
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Parser returned an empty list instead of a list filled with None, which caused the IndexError.