BUG: copying series into empty dataframe does not preserve dataframe index name
- [x] closes #31368
- [x] tests added / passed
   `indexing/test_partial.py:TestPartialSetting:test_index_name_empty`
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
