BUG: Merge between partial index and index fails if result is empty
- [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.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas
pandas.merge(
    pandas.DataFrame({'a': [1], 'i': [2]}).set_index(['a', 'i']),
    pandas.DataFrame({'i': [1]}).set_index(['i']),
    left_on=['i'],
    right_index=True,
)
```

#### Problem description

This merge fails with the following error:

```
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/lib/python3.8/site-packages/pandas/core/reshape/merge.py", line 88, in merge
    return op.get_result()
  File "/usr/lib/python3.8/site-packages/pandas/core/reshape/merge.py", line 668, in get_result
    self._maybe_add_join_keys(result, left_indexer, right_indexer)
  File "/usr/lib/python3.8/site-packages/pandas/core/reshape/merge.py", line 824, in _maybe_add_join_keys
    key_col.name = name
AttributeError: 'numpy.ndarray' object has no attribute 'name'
```

Thing is, it works fine if I change `i` in the left DataFrame from `[2]` to `[1]`. It only fails if there's no overlap between the join keys.

This behavior is problematic because the failure depends on the outcome of the merge, so it's difficult to avoid.

#### Expected Output

I expect this to not fail and just return an empty result.

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

<details>

```
>>> pandas.show_versions()

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.8.2.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.6.2-arch1-2
machine          : x86_64
processor        : 
byteorder        : little
LC_ALL           : None
LANG             : en_FYL.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.0.3
numpy            : 1.18.2
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 20.0.2
setuptools       : 46.1.3
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.0
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.1
IPython          : 7.13.0
pandas_datareader: None
bs4              : 4.8.2
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : 3.2.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : 1.3.15
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
numba            : None
```

</details>
