Raised value error on incorrect na_option
- [X] closes #19499
- [X] tests added / passed
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry


Also can you make sure this works for all of `Series`, `DataFrame` and `GroupBy` objects? Behavior should be identical across all three # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22037?src=pr&el=h1) Report
> Merging [#22037](https://codecov.io/gh/pandas-dev/pandas/pull/22037?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/2d0c96119391c85bd4f7ffbb847759ee3777162a?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22037/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/22037?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #22037      +/-   ##
==========================================
+ Coverage      92%      92%   +<.01%     
==========================================
  Files         170      170              
  Lines       50553    50556       +3     
==========================================
+ Hits        46510    46513       +3     
  Misses       4043     4043
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.4% <ø> (ø)` | :arrow_up: |
| #single | `42.21% <ø> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22037?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/22037/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `96.47% <ø> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22037?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/22037?src=pr&el=footer). Last update [2d0c961...59c98a6](https://codecov.io/gh/pandas-dev/pandas/pull/22037?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Not sure why travis-ci is failing. Looks unrelated/might have to do with an upstream dependency? Do I have to create a new PR or can I re-run the build somehow?  @WillAyd PTAL! lgtm

do we have an open issue for this? Updated original comment to make linkage clearer. Merging later today if no objections Thanks @raguiar2!