BUG: Preserve name in Index.astype
- [x] closes #32013
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hello @dsaxton! 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 2020-03-26 15:32:09 UTC @dsaxton can you merge master to be on the safe side

LGTM > @dsaxton can you merge master to be on the safe side
> 
> LGTM

@jbrockmendel Looks like there's an unrelated CI failure, but probably just wait for that to be fixed? Yah, hopefully that will be fixed by #32630. > Yah, hopefully that will be fixed by #32630.

@jbrockmendel Green now, thanks for the review cc @jreback i think this is good to go @jbrockmendel if you have any more comments im a happy camper lgtm. can you merge master, and ping on green (just to make sure it respects all of the recent merges) > lgtm. can you merge master, and ping on green (just to make sure it respects all of the recent merges)

@jreback Merged master + green hmm somthing failing here, pls merge master and see > hmm somthing failing here, pls merge master and see

@jreback Looks like one of the fixtures may have changed, hopefully will be fixed now. I think the linting error will be fixed by https://github.com/pandas-dev/pandas/pull/32987 thanks @dsaxton 