TST: Add test for KeyError with MultiIndex
- [x] closes #25236
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

cc @jreback Added a test
Hello @phofl! 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 2020-11-09 21:43:16 UTC can you merge master Done thanks @phofl 