ERR: Better error msg when merging on tz-aware and tz-naive columns
- [ ] closes #15800
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry


# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19525?src=pr&el=h1) Report
> Merging [#19525](https://codecov.io/gh/pandas-dev/pandas/pull/19525?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/e8620abc12a4c468a75adb8607fd8e0eb1c472e7?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19525/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/19525?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19525      +/-   ##
==========================================
- Coverage   91.62%   91.62%   -0.01%     
==========================================
  Files         150      150              
  Lines       48680    48681       +1     
==========================================
- Hits        44603    44602       -1     
- Misses       4077     4079       +2
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.98% <100%> (-0.01%)` | :arrow_down: |
| #single | `41.73% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19525?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/reshape/merge.py](https://codecov.io/gh/pandas-dev/pandas/pull/19525/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcmVzaGFwZS9tZXJnZS5weQ==) | `94.22% <100%> (ø)` | :arrow_up: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/19525/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `83.64% <0%> (-0.21%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19525?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/19525?src=pr&el=footer). Last update [e8620ab...4823afa](https://codecov.io/gh/pandas-dev/pandas/pull/19525?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Thanks!