ENH: Support MultiIndex columns in parquet (#34777)
- [x] closes #34777
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Support MultiIndex for columns in parquet format by updating value column names check to handle MultiIndexes.
Hello @hweecat! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-11-19 01:05:10 UTC @jreback Since the enhancements work on pyarrow 0.15.0, we could leave the min pyarrow version as >= 0.15.0 for this pull request.

I've added a whatsnew note on enhancements in 1.2 under "Other enhancements" - feel free to let me know if a more detailed whatsnew note is needed. :)

P.S. Tests are failing after I did a rebase to update my branch. This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. Test failures look unrelated, looks related to https://github.com/pandas-dev/pandas/pull/37818

```
fsspectest = <pandas.conftest.fsspectest.<locals>.TestMemoryFS object at 0x7fb2b99e5e50>
extension = 'xls'

    @pytest.mark.parametrize("extension", ["xlsx", "xls"])
    def test_excel_options(fsspectest, extension):
        df = DataFrame({"a": [0]})
    
        path = f"testmem://test/test.{extension}"
    
>       df.to_excel(path, storage_options={"test": "write"}, index=False)

pandas/tests/io/test_fsspec.py:133: 
``` /azp run <samp>
Azure Pipelines successfully started running 1 pipeline(s).<br>

</samp> @hweecat small comments, can you merge master and ping on green. thanks @hweecat and @charlesdong1991  all credits to @hweecat very nice job! Any reason why this explicitly raises errors for non-string multi-indicies?