REGR: where not copying on no-op
- [x] closes #39595
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

thanks @mzeitlin11  @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 f75a620d4401dc2f4daa6ae9f10170345a63ae92
```

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

```
$ git commit -am 'Backport PR #40592: REGR: where not copying on no-op'
```

4. Push to a named branch :

```
git push YOURFORK 1.2.x:auto-backport-of-pr-40592-on-1.2.x
```

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

> "Backport PR #40592 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).
                