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Reproducible Example

import pandas as pd
empty_df = pd.DataFrame({'a': [], 'b': []})
empty_df.groupby('a').sample()

Issue Description

Calling sample() on an empty dataframe returns

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
Input In [1], in <cell line: 3>()
      1 empty_df = pd.DataFrame({'a': [], 'b': []})
----> 2 empty_df.groupby('a').sample()

File ~.../pandas/core/groupby/groupby.py:4284, in sample(self, n, frac, replace, weights, random_state)
   4275         assert frac is not None
   4276         sample_size = round(frac * group_size)
   4278     grp_sample = sample.sample(
   4279         group_size,
   4280         size=sample_size,
   4281         replace=replace,
   4282         weights=None if weights is None else weights_arr[grp_indices],
   4283         random_state=random_state,
-> 4284     )
   4285     sampled_indices.append(grp_indices[grp_sample])
   4287 sampled_indices = np.concatenate(sampled_indices)

File <__array_function__ internals>:180, in concatenate(*args, **kwargs)

ValueError: need at least one array to concatenate

Expected Behavior

Should return an empty dataframe

Empty DataFrame
Columns: [a, b]
Index: []

Installed Versions

python : 3.9.10.final.0 python-bits : 64 OS : Darwin OS-release : 21.3.0 Version : Darwin Kernel Version 21.3.0: Wed Jan 5 21:37:58 PST 2022; root:xnu-8019.80.24~20/RELEASE_ARM64_T8101 machine : arm64 processor : arm byteorder : little LC_ALL : None LANG : None LOCALE : None.UTF-8 pandas : 1.5.0.dev0+1364.g201cbf6bc1.dirty numpy : 1.22.3 pytz : 2022.1 dateutil : 2.8.2 setuptools : 60.9.3 pip : 22.1.1 Cython : 0.29.32 pytest : 7.1.2 hypothesis : 6.52.3 sphinx : None blosc : None feather : None xlsxwriter : None lxml.etree : 4.8.0 html5lib : None pymysql : None psycopg2 : None jinja2 : 3.1.2 IPython : 8.3.0 pandas_datareader: 0.10.0 bs4 : 4.11.1 bottleneck : None brotli : None fastparquet : None fsspec : None gcsfs : None matplotlib : 3.5.2 numba : None numexpr : None odfpy : None openpyxl : None pandas_gbq : None pyarrow : None pyreadstat : None pyxlsb : None s3fs : None scipy : 1.8.1 snappy : None sqlalchemy : None tables : None tabulate : None xarray : None xlrd : None xlwt : None zstandard : None tzdata : None