TST: Replace tm.all_index_generator with indices fixture
Inspired by #30999
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`


Originally I wanted to implement
> create the indices fixture using `tm.all_index_generator` as suggested [by jbrockmendel in this comment](https://github.com/pandas-dev/pandas/pull/31701#discussion_r378532760)

But then I realised that all places where `tm.all_index_generator` is used would benefit from using `indices` instead. @jreback CI is green thanks @SaturnFromTitan 