BUG: Preserve extension dtypes in MultiIndex during concat (#58421)

[afonso-antunes]

• closes BUG: Index[timestamp[pyarrow]].union with itself return object type #58421
• 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.

Fix Summary:

Previously, the _make_concat_multiindex method could silently downgrade extension dtypes (e.g., to object) when creating levels. This PR ensures that the _concat_indexes helper uses the correct dtype-aware construction (array(..., dtype=...)) to preserve the original dtype of the first index.

Test added:

Added a test in pandas/tests/frame/methods/test_concat_arrow_index.py that covers the preservation of extension dtypes when using pd.concat with keys= that triggers MultiIndex creation.

The test creates two DataFrames with timestamp[pyarrow] indices, then concatenates them with pd.concat(..., keys=...) and asserts that:

• The resulting index is a MultiIndex
• The second level (levels[1]) retains the ArrowDtype('timestamp[us][pyarrow]') instead of being downgraded to object.

This ensures the dtype preservation fix is validated and regressed against.