MAINT: More friendly error msg on Index overflow
Display a more friendly error message when there is an `OverflowError` during `Index` construction.

Partially addresses #15832.
Marked this for `0.23.2` since this is relatively minor and is in no rush to be squeezed into `0.23.1`.  That being said, if someone wants to push for tomorrow's release, be my guest. 😄  # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=h1) Report
> Merging [#21377](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/480790531ffcc4329f280ddf6877d028d08e969f?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/21377/graphs/tree.svg?token=eZ4WkYLtcO&src=pr&width=650&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21377      +/-   ##
==========================================
+ Coverage   91.89%   91.89%   +<.01%     
==========================================
  Files         153      153              
  Lines       49596    49599       +3     
==========================================
+ Hits        45576    45579       +3     
  Misses       4020     4020
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.29% <100%> (ø)` | :arrow_up: |
| #single | `41.86% <50%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/21377/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.61% <100%> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=footer). Last update [4807905...44e95e6](https://codecov.io/gh/pandas-dev/pandas/pull/21377?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 ok seems reasonable.  > ok seems reasonable.

Cool.  lmk if there are any changes that need to be made to make this merge-able. @jreback : friendly ping yep looks fine. let's wait till 0.23.2 whatsnew is in (I see you have PR for that), but don't merge unless @TomAugspurger releases. > let's wait till 0.23.2 whatsnew is in (I see you have PR for that), but don't merge unless @TomAugspurger releases.

Just to clarify: Are you saying to hold on both PR's until @TomAugspurger releases?  Or just this one? yes hold on both. nvm this is fine.