Add test for MultiIndex Construction with pd.NA
Discovered in #31799

```python
>>> pd.MultiIndex.from_product([np.array([0., np.nan], dtype="object"), ["a", "B"]])
MultiIndex([(0.0, 'a'),
            (0.0, 'B'),
            (nan, 'a'),
            (nan, 'B')],
           )
>>> pd.MultiIndex.from_product([np.array([0., pd.NA], dtype="object"), ["a", "B"]])
*** TypeError: boolean value of NA is ambiguous
```

May be the same root cause as #31881