TST: Avoid bare pytest.raises in mult files
* [x]  ref #30999
 
* [x]  tests added / passed
 
* [x]  passes `black pandas`

* [x]  passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
Hello @Vlek! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:









































There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-03-22 18:56:22 UTC I haven't the slightest clue why pandas-dev.pandas is taking so long while the others were successful. I would appreciate help in figuring out what's wrong. thanks @Vlek 