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

after #38111 will update the whatsnew from there to include this @jreback did something break the npdev build again while i wasnt looking? i wonder if this is the backport of the 2d indexing message (just merged to 1.1.5)

 yah its just a complaint about a mismatched exception message in the 2d indexing case can you rebase (and update the fixture name) rebased with whatsnew looks fine. waiting on CI. greenish re-run and green