Spurious MultiIndex creation in `NDFrame._set_axis_names`
#### Code Sample, a copy-pastable example if possible

```python
# Code in master
pd.MultiIndex.from_product([["mammal"], ['dog', 'cat', 'monkey']])
```
#### Problem description

A spurious MultiIndex is being created in `_set_axis_names`.

[Link to blame](https://github.com/pandas-dev/pandas/blame/master/pandas/core/generic.py#L1336)


#### Expected Output

N/A

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

N/A

<details>

[paste the output of ``pd.show_versions()`` here below this line]

</details>
