TST: add test for Index.where when needing to cast to object dtype
- [x] closes #32413
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry: Adds a basic test for #32413.

Hey! This is my first PR with actual code: added a very basic test to validate #32413. 

Questions:
* What is the best place for this test? (currently put it in `pandas/tests/indexes/test_indexing.py`)
* Should I try to create another test that uses the `index` input argument? 
Thanks @jorisvandenbossche and @mroeschke for the feedback! I'll clean the PR a bit :)
 @jorisvandenbossche moved the test there! This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. the underlying problem in #32413 was at a lower level IIRC.  should we have a test on astype or a constructor? @cgarciae can you address @jreback comments. closing as stale