Создайте отдельный фрейм данных с столбцами
data = [df1["A"], df2["A"]]
headers = ["df1", "df2"]
df3 = pd.concat(data, axis=1, keys=headers)
Creepy Capybara
data = [df1["A"], df2["A"]]
headers = ["df1", "df2"]
df3 = pd.concat(data, axis=1, keys=headers)