ENH include the first incompatible key in error message when merging
- [x] Closes #51861
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit)..
- [x] Added an entry in the latest `doc/source/whatsnew/v2.1.0.rst` file if fixing a bug or adding a new feature.

This PR intends to improve error message of `DataFrame.merge` when having incompatible keys, as mentioned in Issue #51861. In the current PR, the error message includes only the first incompatible key found for simplicity. Let me know if I should in addition show all incompatible keys or a certain number of them.
Thanks @Charlie-XIAO 