BUG: read_excel: incorrect multi-index values - 1 (empty or equal values)
- [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 pandas as pd

pd.read_excel('df.xlsx', sheet_name='Sheet1', index_col=0, header=[0, 1])
```

Note: `engine`s could be different.

#### Problem description

Exception on `pd.read_excel()`:
```
$ ~/miniconda3/bin/python read.py 
Traceback (most recent call last):
  File "read.py", line 4, in <module>
    df = pd.read_excel('df_empty.xlsx', engine='openpyxl', sheet_name='Sheet1', index_col=0, header=[0, 1])
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 334, in read_excel
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 888, in parse
    **kwds,
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/io/excel/_base.py", line 521, in parse
    ].columns.set_names(header_names)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 1325, in set_names
    idx._set_names(names, level=level)
  File "/home/sasha/miniconda3/lib/python3.7/site-packages/pandas/core/indexes/base.py", line 1239, in _set_names
    raise ValueError(f"Length of new names must be 1, got {len(values)}")
ValueError: Length of new names must be 1, got 2
```

on XLSX like:
![image](https://user-images.githubusercontent.com/1063219/79040944-b2c96080-7bf4-11ea-8f70-c09899f76611.png)
(C2 is empty, [df_empty.xlsx](https://github.com/pandas-dev/pandas/files/4464392/df_empty.xlsx))

or this:

![image](https://user-images.githubusercontent.com/1063219/79040983-f91ebf80-7bf4-11ea-8aea-b1755309bd3e.png)
(B2 == C2, [df_equals.xlsx](https://github.com/pandas-dev/pandas/files/4464393/df_equals.xlsx))

#### Expected Output

No exceptions.

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

<details>
INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.7.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.4.25-calculate
machine          : x86_64
processor        : Intel(R) Core(TM) i5-7200U CPU @ 2.50GHz
byteorder        : little
LC_ALL           : None
LANG             : ru_RU.utf8
LOCALE           : ru_RU.UTF-8

pandas           : 1.0.3
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 46.1.3.post20200330
Cython           : 0.29.15
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.2.8
lxml.etree       : 4.5.0
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.1
IPython          : 7.13.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.1.3
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : 1.2.8
numba            : None
</details>
