BUG: Fix issue in preserving index name on empty DataFrame
- [x] closes #36527
- [x] tests added / passed
   - `tests/indexing/test_partial.py:tesst_index_name_empty`
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
   - v1.1.3

Hello @Dr-Irv! 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 2020-09-21 20:17:46 UTC thanks @Dr-Irv  @MeeseeksDev backport to 1.1.x