BUG: Fix reading of multi_index dataframe with NaN

[CYHSM]

• closes BUG: KeyError when loading csv with NaNs #56929
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

See #56929 for some of the discussion around this bug. Instead of removing the additional header row as suggested in the issue, I fixed the bug after reading all three rows as a header. The code that errors will have these headers: header: ['0', 'Unnamed: 1_level_2'], the code where we explicitly set empty values to NaN before writing has these: header: ['0', 'NaN']. The problem with the empty value stems from this line:

pandas/pandas/_libs/parsers.pyx

Lines 694 to 698 in 7368686

	if name == "":
	if self.has_mi_columns:
	name = f"Unnamed: {i}_level_{level}"
	else:
	name = f"Unnamed: {i}"

which checks for an empty string and then assigns Unnamed level to it (this is where the paths for the csv with explicit NaN values diverges as its not assigned the unnamed level)

I think there are several ways of fixing this. In this PR I tried to make sure that the first header is treated like the second by simply changing the comparison in this line:

pandas/pandas/_libs/parsers.pyx

Line 749 in 7368686

if (lc != unnamed_count and lc - ic > unnamed_count) or ic == 0:

No other tests are failing after recompiling the code, therefore I am fairly confident that this fixes the issue and does not introduce others. However, it would still be good if someone else with more parsing experience looks over it.

Edit: It seems some tests are breaking due to this, will check it out now.

[mroeschke]

Thanks for the pull request, but it appears to have gone stale. If interested in continuing, please merge in the main branch, address any review comments and/or failing tests, and we can reopen.