PERF: Correct signature for group_nth / group_object
Closes #19283
From the original issue

```
In [24]: %timeit msgs.groupby(['date', 'orderid']).first();
44.8 ms ± 2.09 ms per loop (mean ± std. dev. of 7 runs, 10 loops each)
```

vs. ~10s # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=h1) Report
> Merging [#19579](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/50528421ae79b27a26b32ba715b17271c8dfda7e?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19579/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19579      +/-   ##
==========================================
- Coverage   91.62%   91.62%   -0.01%     
==========================================
  Files         150      150              
  Lines       48773    48773              
==========================================
- Hits        44687    44686       -1     
- Misses       4086     4087       +1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.99% <ø> (-0.01%)` | :arrow_down: |
| #single | `41.74% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/groupby.py](https://codecov.io/gh/pandas-dev/pandas/pull/19579/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS5weQ==) | `92.12% <0%> (-0.05%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=footer). Last update [5052842...59f927d](https://codecov.io/gh/pandas-dev/pandas/pull/19579?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 hahah the wonders of calling cython functions, when we catch the non-existing functions!