ENH: groupby missing data in index
- [x] closes #20519
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

`.groupby` intialize "grouper" by _get_grouper_for_level. Base on "code", "level_index" fills with non-NA value if there is NA value. Problem is if there are only NA values, "level_index" can't fill with values. 
So, check "level_index" whether all "level_index" values is NA. then "level_index" are all NA values, fill with NaN

@jreback could you merge this pr? Hello @proost! 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:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2019-10-25 04:59:47 UTC @jreback or @jbrockmendel any thoughts on this one? @proost can you fix up merge conflict? Thanks @proost  @jreback @WillAyd @jbrockmendel @TomAugspurger 
Thank you for you review and feedback