BUG: Unexpected KeyError message when using .loc with MultiIndex in a possible edge-case
- [x] closes #51892
- [ ] [Tests added and passed]
- [x] All [code checks passed]
- [ ] Added [type annotations]
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Thx @jayendra-patil33 