BUG: Rewrite _make_concat_multiindex
- [x] closes #20565
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hello @toobaz! Thanks for updating the PR.





Cheers ! There are no PEP8 issues in this Pull Request. :beers: 

##### Comment last updated on February 03, 2019 at 15:53 Hours UTC closing as stale