TST: Add tests for groupby categorical values with axis=1
This is xref https://github.com/pandas-dev/pandas/pull/27700#issuecomment-517703401

- [x] closes #13420
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

lgtm. @WillAyd  Thanks @charlesdong1991 !