TST: GH30999 Change all pytest.raises in pandas/tests/indexing to tm.external_error_raised
Addresses xref #30999 for pandas/tests/indexing by changing three bare `pytest.raise` instances to `tm.external_error_raised`

This is the last of the simpler PRs for #30999 - after that it gets more complex.

- [ ] closes #xxxx
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

thanks @moink 