IO: Fix S3 Error Handling
closes #27679 
closes #32486 

- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Seems pretty reasonable to me if green. Can you add a whatsnew? Thanks for the review @TomAugspurger  green @jreback  thanks @alimcmaster1 