Raise a ValueError when index and data lengths don't match
- [x] closes #26658
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=h1) Report
> Merging [#26911](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/baa77c33fb71c29acea21ba06adaf426ed4cb561?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/26911/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #26911      +/-   ##
==========================================
- Coverage   91.87%   91.86%   -0.01%     
==========================================
  Files         180      180              
  Lines       50712    50714       +2     
==========================================
- Hits        46590    46588       -2     
- Misses       4122     4126       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.46% <100%> (ø)` | :arrow_up: |
| #single | `41.09% <50%> (-0.09%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.5% <100%> (+0.01%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `88.88% <0%> (-11.12%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.88% <0%> (-0.12%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26911?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/26911?src=pr&el=footer). Last update [baa77c3...14c7461](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=h1) Report
> Merging [#26911](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/b4aa1d66ecc8d391e8003a0a398bd96fe956bfdf?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/26911/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #26911      +/-   ##
==========================================
- Coverage      92%   91.99%   -0.01%     
==========================================
  Files         180      180              
  Lines       50754    50755       +1     
==========================================
- Hits        46698    46694       -4     
- Misses       4056     4061       +5
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.63% <100%> (-0.01%)` | :arrow_down: |
| #single | `41.82% <57.14%> (-0.1%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.3% <100%> (-0.19%)` | :arrow_down: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `88.88% <0%> (-11.12%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.89% <0%> (-0.12%)` | :arrow_down: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/26911/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `90.94% <0%> (+0.1%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26911?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/26911?src=pr&el=footer). Last update [b4aa1d6...4f819c3](https://codecov.io/gh/pandas-dev/pandas/pull/26911?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Which exception type would you prefer: ValueError, IndexError, IndexingError? I tried Sequence and Union[Series, Sequence], didn't work I think this is all good, aside from the release note. Thanks @krsnik93!