REGR: fix transform of empty DataFrame/Series
Closes #39636
Thanks @jorisvandenbossche if you can add a release note we can get this into 1.2.2 thanks @jorisvandenbossche the backport may note be trivial here as things have moved around @meeseeksdev backport 1.2.x 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 1.2.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 6db0b55a88a3f9b83136f0735b9a01c003af41ea
```

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

```
$ git commit -am 'Backport PR #39639: REGR: fix transform of empty DataFrame/Series'
```

4. Push to a named branch :

```
git push YOURFORK 1.2.x:auto-backport-of-pr-39639-on-1.2.x
```

5. Create a PR against branch 1.2.x, I would have named this PR:

> "Backport PR #39639 on branch 1.2.x"

And apply the correct labels and milestones.

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

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                 cc @simonjayhawkins 