Fillna con índice
In [13]:
d=pd.DataFrame(index=['A','B','C'], columns=['Num','Name'], data=[[1,'Andrew'], [2, np.nan], [3, 'Chris']])
d['Name']=d['Name'].fillna(d.index.to_series())
d
Out[13]:
Num Name
A 1 Andrew
B 2 B
C 3 Chris
Benja