Validate axis args
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This is a follow up PR on #37924 @jreback cheers
Thanks @tonyyyyip - just for reference, as the linked PR has lots of comments, this follows up on https://github.com/pandas-dev/pandas/pull/37924#discussion_r550812455 thanks @tonyyyyip 