add a test to check zero index array do not error
refs GH-21946

- [x] closes #xxxx
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [na] whatsnew entry

Hello @illegalnumbers! 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:

* In the file [`pandas/tests/indexing/test_indexing.py`](https://github.com/pandas-dev/pandas/blob/9c970d8b783bbf193caf247c50e66729ff44e456/pandas/tests/indexing/test_indexing.py):

> [Line 865:80](https://github.com/pandas-dev/pandas/blob/9c970d8b783bbf193caf247c50e66729ff44e456/pandas/tests/indexing/test_indexing.py#L865): [E501](https://duckduckgo.com/?q=pep8%20E501) line too long (82 > 79 characters)



##### Comment last updated at 2019-03-24 02:57:47 UTC # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=h1) Report
> Merging [#25856](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/6e0f9a971bcd07a4a6283dc03190b4363d42e292?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25856/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25856   +/-   ##
=======================================
  Coverage   91.45%   91.45%           
=======================================
  Files         172      172           
  Lines       52892    52892           
=======================================
  Hits        48373    48373           
  Misses       4519     4519
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.02% <ø> (ø)` | :arrow_up: |
| #single | `41.81% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25856?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/25856?src=pr&el=footer). Last update [6e0f9a9...4dbf456](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=h1) Report
> Merging [#25856](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/6e0f9a971bcd07a4a6283dc03190b4363d42e292?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25856/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25856   +/-   ##
=======================================
  Coverage   91.45%   91.45%           
=======================================
  Files         172      172           
  Lines       52892    52892           
=======================================
  Hits        48373    48373           
  Misses       4519     4519
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.02% <ø> (ø)` | :arrow_up: |
| #single | `41.81% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25856?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/25856?src=pr&el=footer). Last update [6e0f9a9...9c970d8](https://codecov.io/gh/pandas-dev/pandas/pull/25856?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 this is already fully covered by #24924 