CLN: Use defaultdict for minor optimization
Edit `_from_nested_dict()` by using defaultdict for optimization in performance

- [ ] closes #32209 
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

@WillAyd @jreback Should this fix the problem? Thanks again for your input, and apologies for achieving this in such a roundabout fashion.  Yea we typically ask that you keep updates to the change all in one PR, but OK as is  this is ok

pls add labels > Yea we typically ask that you keep updates to the change all in one PR, but OK as is

@WillAyd I will make sure to follow that guideline for any future PRs. Thanks for the understanding. thanks @jaketae 