BUG: copying series into empty dataframe does not preserve dataframe index name
- [x] closes #31368
- [x] tests added / passed
   `indexing/test_partial.py:TestPartialSetting:test_index_name_empty`
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

also pls merge master @simonjayhawkins ok for 1.1.2 (if you haven't tagged), otherwise let's push to 1.1.3 > @simonjayhawkins ok for 1.1.2 (if you haven't tagged), otherwise let's push to 1.1.3

ok for 1.1.2 Thanks @Dr-Irv  @meeseeksdev backport 1.1.x @meeseeksdev backport 1.1.x @meeseeksdev backport 1.1.x Something went wrong ... Please have  a look at my logs. Something went wrong ... Please have  a look at my logs.