Avoid bare pytest.raises in dtypes/test_dtypes.py
* [x]  ref #30999
 
* [x]  tests added / passed
 
* [x]  passes `black pandas`

* [x]  passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
Please be aware that I changed the dtypes.py file. I believe that there's a spelling mistake in one of the error messages. Could someone please confirm whether this is the case? Please note that one of the other testing files uses the other verbiage.

It's the difference between Categorical and Categorial. Thanks @Vlek 