BUG: MultiIndex mangling during parsing (#18062)
- [X] closes #18062 
- [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/18094?src=pr&el=h1) Report
> Merging [#18094](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/27bbea7ee125f4dc19dca2a7703c9a13ca754f9b?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18094/graphs/tree.svg?height=150&width=650&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18094      +/-   ##
==========================================
+ Coverage   91.25%   91.26%   +<.01%     
==========================================
  Files         163      163              
  Lines       50120    50125       +5     
==========================================
+ Hits        45737    45745       +8     
+ Misses       4383     4380       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.32% <57.14%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.53% <100%> (+0.01%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.2% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18094?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/18094?src=pr&el=footer). Last update [27bbea7...5fdf1e3](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=h1) Report
> Merging [#18094](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/27bbea7ee125f4dc19dca2a7703c9a13ca754f9b?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18094/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18094      +/-   ##
==========================================
+ Coverage   91.25%   91.26%   +<.01%     
==========================================
  Files         163      163              
  Lines       50120    50125       +5     
==========================================
+ Hits        45737    45745       +8     
+ Misses       4383     4380       -3
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (+0.02%)` | :arrow_up: |
| #single | `40.32% <57.14%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.53% <100%> (+0.01%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.2% <0%> (+1.81%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18094?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/18094?src=pr&el=footer). Last update [27bbea7...5fdf1e3](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=h1) Report
> Merging [#18094](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/5f113539d5d1bf71c9864fd382c1ab6cf5136973?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18094/graphs/tree.svg?width=650&height=150&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18094      +/-   ##
==========================================
- Coverage   91.27%   91.26%   -0.02%     
==========================================
  Files         163      163              
  Lines       50123    50128       +5     
==========================================
- Hits        45752    45749       -3     
- Misses       4371     4379       +8
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.07% <100%> (ø)` | :arrow_up: |
| #single | `40.32% <57.14%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.53% <100%> (+0.01%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.75% <0%> (-0.1%)` | :arrow_down: |
| [pandas/core/indexes/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZXMucHk=) | `95.5% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18094?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/18094?src=pr&el=footer). Last update [5f11353...41eea13](https://codecov.io/gh/pandas-dev/pandas/pull/18094?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @gfyoung merge if you are ok with this. lgtm. Thanks @WillAyd !