Spurious MultiIndex creation in `NDFrame._set_axis_names`

[devin-petersohn]

Code Sample, a copy-pastable example if possible

# Code in master
pd.MultiIndex.from_product([["mammal"], ['dog', 'cat', 'monkey']])

Problem description

A spurious MultiIndex is being created in _set_axis_names.

Link to blame

Expected Output

N/A

Output of pd.show_versions()

N/A

[paste the output of pd.show_versions() here below this line]