Fix Bug with NA value in Grouping for Groupby.nth
- [X] closes #26011
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry

Would ideally like to combine first, nth and last implementations. Consider this a precursor

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26152?src=pr&el=h1) Report
> Merging [#26152](https://codecov.io/gh/pandas-dev/pandas/pull/26152?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/9feb3ad92cc0397a04b665803a49299ee7aa1037?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `93.75%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/26152/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/26152?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #26152      +/-   ##
==========================================
- Coverage   91.97%   91.96%   -0.01%     
==========================================
  Files         175      175              
  Lines       52368    52371       +3     
==========================================
- Hits        48164    48163       -1     
- Misses       4204     4208       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.52% <93.75%> (ø)` | :arrow_up: |
| #single | `40.69% <12.5%> (-0.15%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/26152?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/groupby/groupby.py](https://codecov.io/gh/pandas-dev/pandas/pull/26152/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9ncm91cGJ5LnB5) | `97.24% <93.75%> (+0.01%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/26152/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `78.94% <0%> (-10.53%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/26152/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.9% <0%> (-0.12%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26152?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/26152?src=pr&el=footer). Last update [9feb3ad...c2a0b8e](https://codecov.io/gh/pandas-dev/pandas/pull/26152?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @WillAyd has a failure in the checks (not the numpy_dev issue) looks reasonable but i need to look again thanks @WillAyd 