Remove spurious MultiIndex creation in `_set_axis_name`
State: closed

* Resovles #25370
* Introduced by #22969

- [x] closes #25370
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ N/A ] whatsnew entry


Labels:
name: Clean

Comments:
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=h1) Report
> Merging [#25371](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/3d3093a1d923b02da79854918a6d43f92186e72b?src=pr&el=desc) will **decrease** coverage by `49.99%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25371/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25371      +/-   ##
==========================================
- Coverage   91.73%   41.74%     -50%     
==========================================
  Files         173      173              
  Lines       52839    52838       -1     
==========================================
- Hits        48472    22056   -26416     
- Misses       4367    30782   +26415
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `?` | |
| #single | `41.74% <ø> (+0.01%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `38.39% <ø> (-55.77%)` | :arrow_down: |
| [pandas/io/formats/latex.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvbGF0ZXgucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/core/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY2F0ZWdvcmljYWwucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/sas/sas\_constants.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfY29uc3RhbnRzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcGxvdHRpbmcucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvY29udmVydGVyLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/formats/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvaHRtbC5weQ==) | `0% <0%> (-99.35%)` | :arrow_down: |
| [pandas/core/groupby/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9jYXRlZ29yaWNhbC5weQ==) | `0% <0%> (-95.46%)` | :arrow_down: |
| [pandas/io/sas/sas7bdat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXM3YmRhdC5weQ==) | `0% <0%> (-91.17%)` | :arrow_down: |
| [pandas/io/sas/sas\_xport.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfeHBvcnQucHk=) | `0% <0%> (-90.15%)` | :arrow_down: |
| ... and [131 more](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=footer). Last update [3d3093a...107cf19](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=h1) Report
> Merging [#25371](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/3d3093a1d923b02da79854918a6d43f92186e72b?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25371/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25371      +/-   ##
==========================================
+ Coverage   91.73%   91.73%   +<.01%     
==========================================
  Files         173      173              
  Lines       52839    52838       -1     
==========================================
  Hits        48472    48472              
+ Misses       4367     4366       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.29% <ø> (-0.01%)` | :arrow_down: |
| #single | `41.74% <ø> (+0.01%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `94.16% <ø> (-0.01%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25371/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `87.66% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=footer). Last update [3d3093a...bd7d3b9](https://codecov.io/gh/pandas-dev/pandas/pull/25371?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).

thanks @devin-petersohn