BUG: use cls instead of MultiIndex in MultiIndex classmethods
- [x] closes #11267
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This doesn't go through all the places where MultiIndex is hard-coded, just the classmethods where in `cls` should be used as a matter of principle.
yep merge on green