CoW: Set copy=False in internal usages of Series/DataFrame constructors
- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

cc @jbrockmendel This keeps copy=False internally where necessary, to avoid unnecessary copies as a side-effect of https://github.com/pandas-dev/pandas/pull/51731 (by default copying numpy arrays in the DataFrame constructor)
So all non-working cases have been merged, I'd merge this tomorrow if green. Afterwards we can merge the copy True pr, this would cause failures now if merged before this one Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
git checkout 2.0.x
git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
git cherry-pick -x -m1 c98b7c84bdb3ba94d7cf482802f15fe313c0f5c7
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
git commit -am 'Backport PR #51834: CoW: Set copy=False in internal usages of Series/DataFrame constructors'
```

4. Push to a named branch:

```
git push YOURFORK 2.0.x:auto-backport-of-pr-51834-on-2.0.x
```

5. Create a PR against branch 2.0.x, I would have named this PR:

> "Backport PR #51834 on branch 2.0.x (CoW: Set copy=False in internal usages of Series/DataFrame constructors)"

And apply the correct labels and milestones.

Congratulations — you did some good work! Hopefully your backport PR will be tested by the continuous integration and merged soon!

Remember to remove the `Still Needs Manual Backport` label once the PR gets merged.

If these instructions are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                 Manual backport -> https://github.com/pandas-dev/pandas/pull/52012