ENH: Improve IOError handling on missing parent directory for Series/DataFrame write methods #24306
- [x] closes #24306 
- [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

alright tests are good here except for the timed-out one - which seems to occur in other PRs as well @twoertwein good here? should I resolve the merge conflict? Yup. Thanks for the PR! We'll get it merged afterwards. Alright done thanks @leonarduschen very nice!