BUG: CategoricalIndex.format
- [x] closes #35439
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I've temporarily put the whatsnewentry in the v.1.1.0 release note, because there isn't a v.1.1.1 version yet. I'll move it, before this is merged.
Thanks @topper-123 for the PR.

The regression was caused by #35118. Categorical types other than object were also affected. maybe need to parameterise test with other values for `cols`

```
>>> pd.__version__
'1.2.0.dev0+10.g3b1d4f1ee'
>>>
>>> data = [[4, 2], [3, 2], [4, 3]]
>>> cols = [1, None]
>>> res = pd.DataFrame(data, columns=cols)
>>> print(res)
   1  NaN
0  4    2
1  3    2
2  4    3
>>>
>>> res = pd.DataFrame(data, columns=pd.CategoricalIndex(cols))
>>> print(res)
   1    NaN
0    4    2
1    3    2
2    4    3
>>>
```

```
>>> pd.__version__
'1.0.5'
>>>
>>> data = [[4, 2], [3, 2], [4, 3]]
>>> cols = [1, None]
>>> res = pd.DataFrame(data, columns=cols)
>>> print(res)
   1  NaN
0  4    2
1  3    2
2  4    3
>>>
>>> res = pd.DataFrame(data, columns=pd.CategoricalIndex(cols))
>>> print(res)
   1.0  NaN
0    4    2
1    3    2
2    4    3
>>>
```

> I've temporarily put the whatsnewentry in the v.1.1.0 release note, because there isn't a v.1.1.1 version yet.

doc\source\whatsnew\v1.1.1.rst now merged to master Updated. thanks @topper-123 very nice! @MeeseeksDev backport to 1.1.x