TST: Adds CategoricalIndex DataFrame from_records test (GH32805)
- [x] closes #32805
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

The test checks to make sure `from_records` loads a `DataFrame` with a `CategorigalIndex` as shown in #32805.
Hello @jgulian! 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 2020-07-13 22:30:14 UTC Looks good. Just need to run isort on the affected file to get the right import order

@mroeschke merge if looks good to you @jgulian Could you run `isort pandas/tests/frame/test_constructors.py`?

After that LGTM  thanks @jgulian 