За комментарий выше, melt решил мою проблему:
df.melt(id_vars = ['Measure', 'State', 'City'], var_name = 'Date' , value_vars=['1/22/20', '1/23/20',
'1/24/20', '1/25/20', '1/26/20', '1/27/20', '1/28/20', '1/29/20',
'1/30/20', '1/31/20', '2/1/20', '2/2/20', '2/3/20', '2/4/20', '2/5/20',
'2/6/20', '2/7/20', '2/8/20', '2/9/20', '2/10/20', '2/11/20', '2/12/20',
'2/13/20', '2/14/20', '2/15/20', '2/16/20', '2/17/20', '2/18/20',
'2/19/20', '2/20/20', '2/21/20', '2/22/20', '2/23/20', '2/24/20',
'2/25/20', '2/26/20', '2/27/20', '2/28/20', '2/29/20', '3/1/20',
'3/2/20', '3/3/20'])