TST: 2d index when constructing dataframe (#25416).
- [X] closes #25416
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This change adds a regression test to check for the handling of 2d index when creating a dataframe (#25416).

Since there is no visible change no whatsnew entry has been added.
thanks @qudade 