CLN: adding to set instead of copy (#35498)

Author: alexhlim

pandas/_libs/index.pyx

@@ -277,12 +277,9 @@ cdef class IndexEngine:
         values = np.array(self._get_index_values(), copy=False)
         values_mask = isnaobj(values)
         targets_mask = isnaobj(targets)
+        stargets = set(targets)
         if targets_mask.any():
-            targets_no_nan = targets.copy()
-            targets_no_nan[targets_mask] = -1
-            stargets = set(targets_no_nan)
-        else:
-            stargets = set(targets)
+            stargets.add(-1)
         n = len(values)
         n_t = len(targets)
         if n > 10_000: