BUG: grouby(axis=1) cannot select column names
- [x] closes #27614 
- [x] tests added / passed
- [ ] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hello @charlesdong1991! 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 2019-08-02 07:54:46 UTC # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=h1) Report
> Merging [#27700](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/95be01dbc060f405b7928cc6e4ba4d6d6181c22a?src=pr&el=desc) will **decrease** coverage by `50.51%`.
> The diff coverage is `0%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/27700/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=tree)

```diff
@@             Coverage Diff             @@
##           master   #27700       +/-   ##
===========================================
- Coverage      93%   42.49%   -50.52%     
===========================================
  Files         182      182               
  Lines       50195    50195               
===========================================
- Hits        46686    21328    -25358     
- Misses       3509    28867    +25358
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `?` | |
| #single | `42.49% <0%> (-0.09%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/groupby/grouper.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9ncm91cGVyLnB5) | `18.38% <0%> (-80.15%)` | :arrow_down: |
| [pandas/io/formats/latex.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvbGF0ZXgucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/gcs.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2djcy5weQ==) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/sas/sas\_constants.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfY29uc3RhbnRzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcGxvdHRpbmcucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvY29udmVydGVyLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/s3.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3MzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/formats/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvaHRtbC5weQ==) | `0% <0%> (-99.38%)` | :arrow_down: |
| [pandas/io/sas/sas7bdat.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXM3YmRhdC5weQ==) | `0% <0%> (-91.16%)` | :arrow_down: |
| [pandas/io/sas/sas\_xport.py](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfeHBvcnQucHk=) | `0% <0%> (-90.1%)` | :arrow_down: |
| ... and [137 more](https://codecov.io/gh/pandas-dev/pandas/pull/27700/diff?src=pr&el=tree-more) | |

------

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> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=footer). Last update [95be01d...1413929](https://codecov.io/gh/pandas-dev/pandas/pull/27700?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @WillAyd @TomAugspurger I added tests for MI columns, and seems work well and pass all tests! Feel free to take a look again! thanks @charlesdong1991  these *might* be closable now: https://github.com/pandas-dev/pandas/issues/21127, https://github.com/pandas-dev/pandas/issues/17961, https://github.com/pandas-dev/pandas/issues/13420, https://github.com/pandas-dev/pandas/issues/3689 thanks for merge!
I will double check those cases @jreback shall I create another PR to add test for those cases? If tests not passed, then I will create other PRs to debug and fix those issues