TST (string dtype): fix IO dtype_backend tests for storage of str dtype of columns' Index
Quick follow-up on https://github.com/pandas-dev/pandas/pull/59481 (I missed that with the last merge of main there was actually one relevant failure, maybe some interaction with one of my other merged PRs)

This was caused because of the merge of https://github.com/pandas-dev/pandas/pull/59488, that changed to honor the `mode.string_storage` option for the future default string dtype. That meant that DataFrames with string column names that were created in a `with pd.option_context("mode.string_storage", string_storage):` context would now also follow the specified storage for the column names.
Thanks @jorisvandenbossche 