ERR: Unify error message for bad excel sheetnames
- [x] closes #39250
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

IMO the core issue in #39250 is upstream in openpyxl, providing a better error message is really tangential to it. Since the error message that openpyxl raises is not a regression, it seemed best to me to (a) target this for 1.3 and (b) unify all error messages across engines.

If, on the other hand, we really do want to improve the error message in 1.2.2 because of the switch from xlrd to openpyxl, then I will open a new PR for 1.2.2 that only impacts openpyxl.

Will do a followup to remove the duplicate tests.

cc @simonjayhawkins @jorisvandenbossche 
Thanks @jreback, note moved to 1.2.2. bugfixes thanks @rhshadrach  @meeseeksdev backport 1.2.x Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.2.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 9c33e5e4f4c5dd6941da866234e506dae7d9f1e0
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #39482: ERR: Unify error message for bad excel sheetnames'
```

4. Push to a named branch :

```
git push YOURFORK 1.2.x:auto-backport-of-pr-39482-on-1.2.x
```

5. Create a PR against branch 1.2.x, I would have named this PR:

> "Backport PR #39482 on branch 1.2.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                 @rhshadrach can you follow the instructions and backport this