ERR: Raise a simpler backtrace for missing key
- [x] closes #21557
- [x] tests passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21558?src=pr&el=h1) Report
> Merging [#21558](https://codecov.io/gh/pandas-dev/pandas/pull/21558?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/f4fba9e90f6a7e27af984acc77403139ef600d8f?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/21558/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/21558?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #21558      +/-   ##
==========================================
- Coverage   91.92%   91.92%   -0.01%     
==========================================
  Files         153      153              
  Lines       49561    49561              
==========================================
- Hits        45559    45557       -2     
- Misses       4002     4004       +2
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.32% <100%> (-0.01%)` | :arrow_down: |
| #single | `41.8% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/21558?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/21558/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.23% <100%> (-0.19%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/21558?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/21558?src=pr&el=footer). Last update [f4fba9e...0e90b30](https://codecov.io/gh/pandas-dev/pandas/pull/21558?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @toobaz 