More helpful Stata object dtype error. (#23572)
- [x] closes #23572
- [ ] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This changes the error message shown when trying to write a non-string column with dtype `object` to Stata. It also includes the name of the offending column in the error message.
Hello @kylebarron! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/io/stata.py`](https://github.com/kylebarron/pandas/blob/b10f7286b7e1131ad013c437fef7a1ac51c7705b/pandas/io/stata.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23646?src=pr&el=h1) Report
> Merging [#23646](https://codecov.io/gh/pandas-dev/pandas/pull/23646?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/2d4dd508fa7419a39201ad7befb287d0d72378ef?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/23646/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23646?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #23646   +/-   ##
=======================================
  Coverage   92.24%   92.24%           
=======================================
  Files         161      161           
  Lines       51317    51317           
=======================================
  Hits        47338    47338           
  Misses       3979     3979
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.63% <ø> (ø)` | :arrow_up: |
| #single | `42.31% <ø> (ø)` | :arrow_up: |


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 this PR is moot after #23718 @bashtage ? Yes.  The error I gave has more detail and incorporates more of the consensus about what is helpful (I think)