BUG: Fix error message for invalid HTML flavor
The flavors were not rendering properly in the string formatting.

Closes #23549.
Follow-up to #17660.
Hello @gfyoung! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/io/html.py`](https://github.com/gfyoung/pandas/blob/edfe3a03c5d84fab76fb76dc8a7d29a647c16be0/pandas/io/html.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/test_html.py`](https://github.com/gfyoung/pandas/blob/edfe3a03c5d84fab76fb76dc8a7d29a647c16be0/pandas/tests/io/test_html.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23550?src=pr&el=h1) Report
> Merging [#23550](https://codecov.io/gh/pandas-dev/pandas/pull/23550?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/28a42da41ca8e13efaa2ceb3939e576d08c232c8?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/23550/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23550?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #23550   +/-   ##
=======================================
  Coverage   92.24%   92.24%           
=======================================
  Files         161      161           
  Lines       51224    51224           
=======================================
  Hits        47254    47254           
  Misses       3970     3970
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.63% <100%> (ø)` | :arrow_up: |
| #single | `42.28% <0%> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/23550?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/23550/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2h0bWwucHk=) | `91.25% <100%> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23550?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/23550?src=pr&el=footer). Last update [28a42da...edfe3a0](https://codecov.io/gh/pandas-dev/pandas/pull/23550?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Thanks.