Import OptionError in pandas.errors
- [x] closes #27553
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

@jorisvandenbossche I am experiencing a build failure on my forked master as well, is this some setup issue, would need your help to resolve this.

Also Is the pr good to go or more changes would be required ? Travis failure should be unrelated, just restarted that build. Can you add this to test_exception_importable in tests.test_errors @jbrockmendel Tests are changed, a whatsnew entry is created. Would you be able to review this or suggest someone who can help in reviewing this PR. @jreback Please review. thanks @sumanau7 