BUG: Fix get dummies unicode error
- [x] closes #22084
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=h1) Report
> Merging [#22131](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/615615a5fd733d7b915947386f3f4df77293e786?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `87.5%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22131/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #22131      +/-   ##
==========================================
- Coverage   92.06%   92.06%   -0.01%     
==========================================
  Files         169      169              
  Lines       50689    50693       +4     
==========================================
+ Hits        46667    46670       +3     
- Misses       4022     4023       +1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.47% <87.5%> (-0.01%)` | :arrow_down: |
| #single | `42.32% <12.5%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/reshape/reshape.py](https://codecov.io/gh/pandas-dev/pandas/pull/22131/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9yZXNoYXBlLnB5) | `99.57% <87.5%> (-0.22%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=footer). Last update [615615a...662cac3](https://codecov.io/gh/pandas-dev/pandas/pull/22131?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @gfyoung @jreback this PR is ready for merge, please check. thanks @Scorpil !