BUG: read_csv raising IndexError with multiple header cols, specified index_col and no data rows
- [x] closes #38292
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Parser returned an empty list instead of a list filled with None, which caused the IndexError.
@jreback green lgtm, resolved conflict, though there is another PR that might conflict on whatsnew, but will see. Yeah, thanks for merging. As soon as we got a few messages in there we can vary the order a bit to avoid this thanks