TST: add test to read empty array
- [ ] closes #41241
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

@jreback 
I get a timeout on the `pandas-dev.pandas` test, could you tell me why?
If you know the solution, I'd like to hear it. > @jreback I get a timeout on the `pandas-dev.pandas` test, could you tell me why? If you know the solution, I'd like to hear it.

you can merge master and see if that fixes, but sometimes this does timeout unrelated to your change thanks @nakatomotoi very nice.

if you would like to do a PR with an empty category would be great as well (llikley just need to construct it properly)