BUG: Raise ValueError instead of bare Exception in sanitize_array
- [x] closes #35744  
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

@micahjsmith Can you add a note in /doc/source/whatsnew/v1.2.0.rst (you can reference v1.1.0.rst for notes on similar changes) and also a test for the error type / message? @dsaxton sure, working on this now @micahjsmith ping when this is updated, also see if you can track down an update any tests that *just* test for this raising Exception (and not ValueError). this is hit in tests.series.test_constructors.TestSeriesConstructors.test_constructor @micahjsmith can you update the appropriate test @jreback @jbrockmendel updated -- sorry for the delay.  @micahjsmith can you merge master and ping on green thanks @micahjsmith 