BUG: Fix na_values dict not working on index column (#57547)
- [x] closes #57547
- [x] [Tests added and passed]
- [x] All [code checks passed]
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [x] Added an entry in the latest `doc/source/whatsnew/v3.0.0.rst` file if fixing a bug or adding a new feature.

In the read_csv method, pandas allows having na_values set as a dict, which in such case lets you decide which values are null for each column. In the occurence of one of the columns being `None`, no null values are applied to the column and it remains as it was. This specific case is what is being tested in the issue #57547.

The problem was that in these particular conditions variables `col_na_values` and `col_na_fvalues` were not being set correctly causing a `TypeError`. All i had to do was correctly define these variables as empty sets in an `else` block.

On the python engine this same logic was not yet programmed. I implemented it, by adding an if statement, ensuring na_values are only applied if the column is not `None`.
@rhshadrach Would it be possible to ask someone to review this PR? Thank you Thanks @tomhoq  Thank you for the review