ENH: add error message for merge with Series GH12081
closes #12081 

@jreback incorporated your comments
 @jreback true, looks much nicer now.
 looks good. can you add a whatsnew note in API changes.
 @jreback I added the note to whatsnew. I didn't manage to run Sphinx to test build the doc though. Can you give it a spin?

I'll have to clean my development environment and move from using pip to conda. Just don't really have the time now.
 @dan-tee no looks good. thanks for the PR!
