BUG: groupby with sort=False creates buggy MultiIndex 
- [ ] closes #32259 
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

EDIT
----
probably better/less invasive to make sure .groupby(, sort=False) returns an object where the index has codes which reflect the ordering
can you set the names of PRs to be the similar to the issue harder than I thought, closing for now, will return to it at later stage