Use right assert raises
Closes https://github.com/pandas-dev/pandas/issues/20904

closes #20904

Ugh, had a test failure. Fixing :/ # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20906?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@b020891`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/20906/graphs/tree.svg?src=pr&token=eZ4WkYLtcO&width=650&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/20906?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master   #20906   +/-   ##
=========================================
  Coverage          ?    91.8%           
=========================================
  Files             ?      153           
  Lines             ?    49384           
  Branches          ?        0           
=========================================
  Hits              ?    45336           
  Misses            ?     4048           
  Partials          ?        0
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.19% <ø> (?)` | |
| #single | `41.9% <ø> (?)` | |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/20906?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/20906?src=pr&el=footer). Last update [b020891...7016eb4](https://codecov.io/gh/pandas-dev/pandas/pull/20906?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Not immediately clear what the fix is. Skipping for now, https://github.com/pandas-dev/pandas/issues/20907 to track. 2.7 and 3+ passed on Travis. Merging