TST: add test for Index.where when needing to cast to object dtype
- [x] closes #32413
- [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: Adds a basic test for #32413.

Hey! This is my first PR with actual code: added a very basic test to validate #32413. 

Questions:
* What is the best place for this test? (currently put it in `pandas/tests/indexes/test_indexing.py`)
* Should I try to create another test that uses the `index` input argument? 