 BUG: DataFrame.__setitem__ raising ValueError with string indexer and empty df and df to set
- [x] closes #38831
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Dont have to convert df to series, df has an index.
cc @jbrockmendel 