BUG: Don't raise when constructing Series from ordered set
- [x] closes #36044
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This may or may not be a regression, since before the change that caused the error to be raised the output was still wrong (same bug that motivated the initial patch):

```python
In [2]: keys = {'a': 1, 'b': 2}.keys()

In [3]: pd.Series(keys)
Out[3]: 
0    (a, b)
1    (a, b)
dtype: object
```