EHN: Add filename to FileNotFoundError
When pandas raises a `FileNotFoundError`, it was not setting the [`filename`](https://docs.python.org/3/library/exceptions.html#OSError.filename) component.

This adds in that feature as well a test for it.
Hello @milliams! Thanks for updating the PR.



Cheers ! There are no PEP8 issues in this Pull Request. :beers: 

##### Comment last updated on January 05, 2019 at 19:42 Hours UTC # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=h1) Report
> Merging [#24266](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/c0371288ff125cad66bc8689ab425dd4cc11c64a?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/24266/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #24266      +/-   ##
==========================================
+ Coverage   92.22%   92.22%   +<.01%     
==========================================
  Files         162      162              
  Lines       51785    51785              
==========================================
+ Hits        47758    47759       +1     
+ Misses       4027     4026       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.62% <ø> (ø)` | :arrow_up: |
| #single | `43.01% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/24266/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `87.41% <0%> (-0.1%)` | :arrow_down: |
| [pandas/io/json/json.py](https://codecov.io/gh/pandas-dev/pandas/pull/24266/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2pzb24vanNvbi5weQ==) | `93.09% <0%> (+0.47%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=footer). Last update [c037128...4656b3e](https://codecov.io/gh/pandas-dev/pandas/pull/24266?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @milliams can you merge master and update to comments closing as stale, if you want to continue, pls ping. @jreback : I'm going to push this through. @jreback : I rebased and addressed my own comment, and all is still green.  PTAL. thanks @milliams & @gfyoung 