BUG: concat fails if indexes are all the same and keys are not unique
- [x] closes #43595
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry
https://github.com/pandas-dev/pandas/pull/43596/checks?check_run_id=3617031474 showing a warning thanks @rhshadrach 