BUG: Better handling of invalid na_option argument for groupby.rank
- [x] closes #22124
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff
- [x] whatsnew entry

This is also related to #19499
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22125?src=pr&el=h1) Report
> Merging [#22125](https://codecov.io/gh/pandas-dev/pandas/pull/22125?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/57c7daa3251e8fed3f3f709ab5bc8e707db99e98?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22125/graphs/tree.svg?token=eZ4WkYLtcO&src=pr&height=150&width=650)](https://codecov.io/gh/pandas-dev/pandas/pull/22125?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #22125      +/-   ##
==========================================
+ Coverage   92.07%   92.07%   +<.01%     
==========================================
  Files         170      170              
  Lines       50694    50697       +3     
==========================================
+ Hits        46674    46677       +3     
  Misses       4020     4020
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.47% <100%> (ø)` | :arrow_up: |
| #single | `42.28% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22125?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/groupby/groupby.py](https://codecov.io/gh/pandas-dev/pandas/pull/22125/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ3JvdXBieS9ncm91cGJ5LnB5) | `96.15% <100%> (+0.01%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22125?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/22125?src=pr&el=footer). Last update [57c7daa...8615d25](https://codecov.io/gh/pandas-dev/pandas/pull/22125?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks!