BUG: fix: list as index item does not raise

[Andre-Andreati]

• closes BUG: Index.drop_duplicates() is inconsistent for unhashable values #60925
• 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/v3.0.0.rst file if fixing a bug or adding a new feature.

Problem:

Index constructor was allowing creation of indexes where one of the index's item is a list (unhashable) while others are not lists.

• If all items are lists - like columns=[ ['a', 'b'], ['b', 'c'], ['b', 'c'] ], it will try to create a MultiIndex. Correct.
• If any item is a list, but NOT all - like the initial example, columns=[ 'a', ['b', 'c'], ['b', 'c'] ], there's no check for this condition, and the creation will follow as if all items, including the lists, are valid column names.

Solution:

Added a check in the Index constructor for this case. Raise ValueError.
Added test to check if is raising correctly.
Changed a test that should raise.