BUG: Patch handling no NA values in TextFileReader
When cleaning `na_values` during initialization of `TextFileReader`, we return a `list` whenever we specify that `na_values` should be empty.  However, the rest of the code expects a `set`.

Closes #15835.

@jreback : I checked on my machine that the issue originally presented in #15835 has been resolved, but any good way to test this without incorporating the Excel file into the code base (or should we leave alone and just use the test I wrote)?   lgtm. I can fix the whatsnew on merge. > @jreback : I checked on my machine that the issue originally presented in #15835 has been resolved, but any good way to test this without incorporating the Excel file into the code base (or should we leave alone and just use the test I wrote)?

no this is fine. interesting this breaks some tests. > interesting this breaks some tests.

Yeah, that's the test I just wrote :/  Hmm...need to figure this out. random failure on osx build so I restarted. ping on green. # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=h1) Report
> Merging [#15881](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/ca7207f6472ec50424054e899fe51d012d950c1e?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/15881/graphs/tree.svg?token=eZ4WkYLtcO&src=pr&width=650&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #15881      +/-   ##
==========================================
- Coverage   90.99%   90.97%   -0.02%     
==========================================
  Files         143      143              
  Lines       49477    49477              
==========================================
- Hits        45020    45011       -9     
- Misses       4457     4466       +9
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.73% <100%> (ø)` | :arrow_up: |
| #single | `40.63% <0%> (-0.11%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.52% <100%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.56% <0%> (-0.1%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=footer). Last update [ca7207f...0bb6f64](https://codecov.io/gh/pandas-dev/pandas/pull/15881?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments). @jreback : All green and ready to merge. thanks!