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Showing content from https://github.com/pandas-dev/pandas/issues/14252 below:

keys argument in pandas.concat does not preserve Index name · Issue #14252 · pandas-dev/pandas · GitHub

Code Sample, a copy-pastable example if possible 
df = pd.DataFrame({'foo': [1, 2, 3, 4],
                   'bar': [0.1, 0.2, 0.3, 0.4]})
index = pd.Index(['a', 'b'], name='baz')

concatted = pd.concat([df, df], keys=index)
concatted.index.names

## -- End pasted text --
Out[3]: FrozenList([None, None])
Expected Output 
FrozenList(['baz', None])
output of pd.show_versions()

A few days older than master:

commit: 5e2f9da6e8e713bd89cfe8760e63583ea7d29879

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