BUG: Cannot sample on DataFrameGroupBy with weights when index is specified
- [x] closes #39927
- [x] tests added / passed
- [ ] 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

Hello @wjsi! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2021-02-24 16:53:56 UTC Also need a note in the 1.3.0 whatsnew under GroupBy Bug Fixes  Thanks @wjsi!