BUG: drop_duplicates not raising KeyError on missing key
Fix #17879 introduced an error by iterating over the columns in the dataframe, not the columns in the subset. This meant that passing in a column name missing from the dataframe would no longer raise a `KeyError` like it had previously.

This fix checks the subset first before pulling necessary columns from the dataframe, and raises the necessary `KeyError` when a given column doesn't exist.

- [x] closes #19726 
- [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/19730?src=pr&el=h1) Report
> Merging [#19730](https://codecov.io/gh/pandas-dev/pandas/pull/19730?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/2fdf1e256e5e0b7f1fe909629e2f0b7893c8c7c3?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19730/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/19730?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19730      +/-   ##
==========================================
+ Coverage   91.58%   91.58%   +<.01%     
==========================================
  Files         150      150              
  Lines       48867    48890      +23     
==========================================
+ Hits        44755    44777      +22     
- Misses       4112     4113       +1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.96% <100%> (ø)` | :arrow_up: |
| #single | `41.79% <0%> (+0.04%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19730?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.23% <100%> (+0.07%)` | :arrow_up: |
| [pandas/core/series.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc2VyaWVzLnB5) | `94.46% <0%> (-0.11%)` | :arrow_down: |
| [pandas/core/ops.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvb3BzLnB5) | `96.74% <0%> (-0.09%)` | :arrow_down: |
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `96.45% <0%> (-0.02%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `65.22% <0%> (ø)` | :arrow_up: |
| [pandas/core/panel.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvcGFuZWwucHk=) | `97.3% <0%> (ø)` | :arrow_up: |
| [pandas/core/indexes/api.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9hcGkucHk=) | `98.78% <0%> (ø)` | :arrow_up: |
| [pandas/core/arrays/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvYXJyYXlzL2NhdGVnb3JpY2FsLnB5) | `94.9% <0%> (+0.01%)` | :arrow_up: |
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/19730/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `97.31% <0%> (+0.03%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19730?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/19730?src=pr&el=footer). Last update [2fdf1e2...61481a4](https://codecov.io/gh/pandas-dev/pandas/pull/19730?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 can you also check ``.duplicated()`` (and add a test) Updated! thanks!