df.melt() column name 'variable'
- [x] closes #37716
- [x] tests added / passed
- [x] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This is my first time contributing to the open source project. Although I didn't make a significant change, I saw a bug report and asked to just raise a warning instead of fixing it. That's what I did and returned original DataFrame instead of returning wrong frame. 
