API: raise on unsupported dtype instead of silently swapping
- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [ ] [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
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

Looks like ATM the DataFrame case raises bc it goes through a different path, while the Series case does not.

mentioned in (but this does not close) #48979
@jreback little help with the docbuild?  (also thoughts on the API change?) @jreback still struggling with the docbuild Thanks @jbrockmendel  sweet!  the only big constructor-behavior-matching one left is #49348