Update ValueError message in corr
to include the option of supplying a callable.

- [x] closes #25727
- [ ] tests added / passed
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Need to update the tests: https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=9439&view=logs&jobId=7c58e677-adbe-554c-f717-831a032b8982&taskId=dba2076d-db50-56b8-6403-e1f6d166f7e3&lineStart=69&lineEnd=70&colStart=1&colEnd=1 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=h1) Report
> Merging [#25729](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/a5d251de3af3cf07dfec39baa343633a9989c1d5?src=pr&el=desc) will **decrease** coverage by `49.49%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25729/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25729      +/-   ##
==========================================
- Coverage   91.24%   41.75%   -49.5%     
==========================================
  Files         172      172              
  Lines       52973    52973              
==========================================
- Hits        48337    22117   -26220     
- Misses       4636    30856   +26220
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `?` | |
| #single | `41.75% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `34.79% <ø> (-62.01%)` | :arrow_down: |
| [pandas/io/formats/latex.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvbGF0ZXgucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/sas/sas\_constants.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfY29uc3RhbnRzLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/plotting.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvcGxvdHRpbmcucHk=) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/tseries/converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvY29udmVydGVyLnB5) | `0% <0%> (-100%)` | :arrow_down: |
| [pandas/io/formats/html.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2Zvcm1hdHMvaHRtbC5weQ==) | `0% <0%> (-99.36%)` | :arrow_down: |
| [pandas/core/groupby/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9jYXRlZ29yaWNhbC5weQ==) | `0% <0%> (-95.46%)` | :arrow_down: |
| [pandas/io/sas/sas7bdat.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXM3YmRhdC5weQ==) | `0% <0%> (-91.17%)` | :arrow_down: |
| [pandas/io/sas/sas\_xport.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3Nhcy9zYXNfeHBvcnQucHk=) | `0% <0%> (-90.15%)` | :arrow_down: |
| [pandas/core/tools/numeric.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvdG9vbHMvbnVtZXJpYy5weQ==) | `10.44% <0%> (-89.56%)` | :arrow_down: |
| ... and [130 more](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25729?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/25729?src=pr&el=footer). Last update [a5d251d...d354be9](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=h1) Report
> Merging [#25729](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/a5d251de3af3cf07dfec39baa343633a9989c1d5?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25729/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #25729      +/-   ##
==========================================
+ Coverage   91.24%   91.25%   +<.01%     
==========================================
  Files         172      172              
  Lines       52973    52973              
==========================================
+ Hits        48337    48338       +1     
+ Misses       4636     4635       -1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.82% <ø> (ø)` | :arrow_up: |
| #single | `41.74% <ø> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.79% <ø> (ø)` | :arrow_up: |
| [pandas/core/series.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc2VyaWVzLnB5) | `93.68% <ø> (ø)` | :arrow_up: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/25729/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `89.08% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25729?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/25729?src=pr&el=footer). Last update [a5d251d...d354be9](https://codecov.io/gh/pandas-dev/pandas/pull/25729?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @fabianrost84 