ENH: Improve error message for empty object array
Improve the error message shown when an object array is empty

closes #23572

- [x] closes #23572
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry


No what's new since too small a change and no test needed.
Hello @bashtage! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/io/stata.py`](https://github.com/bashtage/pandas/blob/3eb95fd30d00ce69526a7a422a939d8a3b6772e4/pandas/io/stata.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23718?src=pr&el=h1) Report
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```diff
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##             master   #23718   +/-   ##
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| Flag | Coverage Δ | |
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| #single | `42.32% <ø> (?)` | |


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 I also extended the test in my previous PR to ensure that the case with all `None` when specifically requested to write as a strl passes.  I hope this is OK, but could move to a new PR is needed. @bashtage Consider adding the offending column to the error like in #23646. The all `None` case isn't hard to handle, but most of the work for me is identifying the column(s) that are the problem in datasets with hundreds of columns.

Since it's throwing on a particular column, it may be that the first encountered column is the only one that can be named, but that's still helpful. An alternative would be providing a brief code example that will identify these all `None` columns (and perhaps an example of fixing it with `convert_strl`).

I could imagine relatively novice pandas users (i.e. Stata switchers) hitting this error, so I'd lean toward a little more hand-holding/direction. Happy to hear counterarguments, though. @jtkiley I added this. @bashtage Thanks for this (looks great) and all you do on the Stata format. It's a big help for those of us working with both, and it helps smooth the work I do to train Stata users to use pandas. thanks @bashtage 