PERF: correctly report memory used by Index's
## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/15237?src=pr) is 86.31% (diff: 100%)
> Merging [#15237](https://codecov.io/gh/pandas-dev/pandas/pull/15237?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will increase coverage by **<.01%**

```diff
@@             master     #15237   diff @@
==========================================
  Files           139        139          
  Lines         51096      51103     +7   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          44103      44110     +7   
  Misses         6993       6993          
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [be32852...d77c002](https://codecov.io/gh/pandas-dev/pandas/compare/be328521b3a5525175b08cb740bb970ccf75727e...d77c002fa597c554a4dda848aff0258d5d458844?src=pr) What do you think about using `__sizeof__` so it works with python? @MaximilianR I added ``__sizeof__``, though you would have to do something like

``sys.getsizeof(index._engine)``, which is simply captured by ``index.memory_usage()`` anyhow