Raise `FileNotFoundError` in `read_json` if input looks like file path but file is missing
- [x] closes #29102
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [x] Added an entry in the latest `doc/source/whatsnew/v1.5.0.rst` file if fixing a bug or adding a new feature.

This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. > Also @twoertwein, for other file extensions with compression, it doesn't appear we manually raise a `FileNotFoundError`. Should this automatically be handled by the handler code?


Would maybe be better to raise here when the file doesn't exist:

https://github.com/pandas-dev/pandas/blob/b1b788fefcdc1f46cebbf6a0df4a9f321ca20086/pandas/io/common.py#L692 [Is this a known error](https://github.com/pandas-dev/pandas/runs/6754333579?check_suite_focus=true#step:9:62) in `TestiLocBaseIndependent.test_iloc_setitem_multicolumn_to_datetime`? Looks unrelated to my changes.

 cc @mroeschke  Great, thanks @janosh 