BUG: Fix Index.sort_values with natsort_key raises
- [x] closes #56081 (Replace xxxx with the GitHub issue number)
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [x] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

An explanation of the fix for this case:
In L570, result is a tuple of tuple. Then it is converted to a MultiIndex in L580, which causes the error.
https://github.com/pandas-dev/pandas/blob/f4232e7cdefcc33afe184891f833aec9c3c9bac2/pandas/core/sorting.py#L570-L580 Thanks @yuanx749 