Fix multiindex loc nan

pandas/_libs/index.pyx

@@ -735,11 +735,15 @@ cdef class BaseMultiIndexCodesEngine:
             raise TypeError(f"'{key}' is an invalid key")
         if not isinstance(key, tuple):
             raise KeyError(key)
-        try:
-            indices = [0 if checknull(v) else lev.get_loc(v) + 1
-                       for lev, v in zip(self.levels, key)]
-        except KeyError:
-            raise KeyError(key)
+        indices = []
+        for k, lev in zip(key, self.levels):
+            try:
+                indices.append(lev.get_loc(k) + 1)
+            except KeyError as err:
+                if checknull(k):
+                    indices.append(0)
+                else:
+                    raise KeyError(key) from err
 
         # Transform indices into single integer:
         lab_int = self._codes_to_ints(np.array(indices, dtype='uint64'))

pandas/tests/indexing/multiindex/test_getitem.py

@@ -392,3 +392,18 @@ def test_loc_empty_multiindex():
     result = df
     expected = DataFrame([1, 2, 3, 4], index=index, columns=["value"])
     tm.assert_frame_equal(result, expected)
+
+
+def test_loc_nan_multiindex():
+    df = DataFrame(
+        {
+            "temp_playlist": [0, 0, 0, 0],
+            "objId": ["o1", np.nan, "o1", np.nan],
+            "x": [1, 2, 3, 4],
+        }
+    )
+
+    agg_df = df.groupby(by=["temp_playlist", "objId"], dropna=False)["x"].agg(list)
+    result = agg_df.loc[agg_df.index[-1]]
+    expected = [2, 4]
+    assert result == expected