TST: new test for subset of a MultiIndex dtype
Tried unsuccessfully reproducing Issue #20757 on pandas: 0.23.0 and 0.26.0.dev0+734.g0de99558b.dirty. That's why I decided to keep the input data from Issue #20757 unchanged.

- [x] closes #20757
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
