REGR: SeriesGroupBy where index has a tuple name fails
- [x] closes #37755
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The groupby code that calls `Series.__getitem__` catches `KeyError` and `TypeError`. If a tuple is fed into an `Index` that is not a `MultiIndex`, we were raising a `ValueError` but `KeyError` seems more appropriate here and also fixes the regression.

While working on this, I found that we raise a `KeyError` inappropriately if an index of tuples contains duplicates, however this exists back in 1.0.x and so is not part of the regression. I've opened #37800 for this.
thanks @rhshadrach keem em coming! @meeseeksdev backport 1.1.x Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.1.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 be03eb13fdb97d1231ec99f162f9bc0c170d50e1
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #37801: REGR: SeriesGroupBy where index has a tuple name fails'
```

4. Push to a named branch :

```
git push YOURFORK 1.1.x:auto-backport-of-pr-37801-on-1.1.x
```

5. Create a PR against branch 1.1.x, I would have named this PR:

> "Backport PR #37801 on branch 1.1.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                