BUG: Improved error msg
- [x] closes #9259
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hopefully this is a more informative message. The original bug report mentions that the index key also fails for Series but didn't report the error type, so I took my best guess at the reporter's intent in the test.
I made some changes. Please let me know if this is what you had mind. Thanks! I am not sure this is needed any longer as we merged #32520, but pls @a-y-khan if you can test and see if the original issue now works, or we still need something. closing as stale, if you'd like to update as above, pls ping / open a new PR.