DOC: Update month_name and day_name docstrings

- To fix confusing `month_index` return name in `day_name` method
- To better match the preferred docstring style.

Author: Peque

pandas/core/arrays/datetimes.py

@@ -795,13 +795,14 @@ def month_name(self, locale=None):
 
         Parameters
         ----------
-        locale : string, default None (English locale)
-            locale determining the language in which to return the month name
+        locale : str
+            Locale determining the language in which to return the month name.
+            Default is `None` (English locale).
 
         Returns
         -------
-        month_names : Index
-            Index of month names
+        Index
+            Index of month names.
 
         .. versionadded:: 0.23.0
         """
@@ -821,13 +822,14 @@ def day_name(self, locale=None):
 
         Parameters
         ----------
-        locale : string, default None (English locale)
-            locale determining the language in which to return the day name
+        locale : str
+            Locale determining the language in which to return the day name.
+            Default is `None` (English locale).
 
         Returns
         -------
-        month_names : Index
-            Index of day names
+        Index
+            Index of day names.
 
         .. versionadded:: 0.23.0
         """