TST: Fix bare pytest.raises in test_parsing.py
- [x] ref #30999 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

Fixes bare pytest.raises issue for `test_parsing.py`.
LGTM pending @simonjayhawkins comment (on which I have no strong opinion) Thanks @mabroor 