ENH: Improve error message for empty data constructor. #8020
- [X] closes #8020
- [X] tests added / passed
- [X] passes `git diff upstream/master | flake8 --diff`
- [X] whatsnew entry

can you add a whatsnew entry (API Changes), mentioning that this error message is changed
 Yup, added a line to the API changes.
 thanks @jylin 
