MAINT: Remove self.assertRaisesRegexp from testing
Title is self-explanatory.

Partially addresses #15990.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=h1) Report
> Merging [#16113](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/844013b20c2a6230b1baeec1d5442e26b7930656?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16113/graphs/tree.svg?token=eZ4WkYLtcO&width=650&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16113      +/-   ##
==========================================
- Coverage   90.84%   90.84%   -0.01%     
==========================================
  Files         159      159              
  Lines       50771    50768       -3     
==========================================
- Hits        46122    46119       -3     
  Misses       4649     4649
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.62% <ø> (-0.01%)` | :arrow_down: |
| #single | `40.33% <ø> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `79.07% <ø> (-0.06%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16113?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/16113?src=pr&el=footer). Last update [844013b...c29715f](https://codecov.io/gh/pandas-dev/pandas/pull/16113?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @gfyoung thanks!