BUG:  chokes on pd.DatetimeTZDtype if there are no rows.
This is a follow up to #41875

- [X] closes #59126
- [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).
- [x] 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.

Is there an issue open for this? I'd welcome some help to understand where/how to add a proper test. I have added a simple repro (3 lines) in the bug If you could add a unit test in `pandas/tests/reshape/test_pivot.py` that mimics your reproducer that would be great Thanks @pcorpet 