BUG: tuple-of-tuples indexing results in NumPy VisibleDeprecationWarning
- [ ] closes #35434
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

> this needs either an actual fix in index construction

to prevent nested tuples in the index? I'll close this for now to clear the queue, I'll revisit once on top of 1.1.0 regressions. There could be lots to do here to avoid 7 repeated calls to np.asarray and maintain state for the indexer checks.