REGR: Avoid error when defining non existing usecols with python engine
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them

Regression on master so no whatsnew. Restored behaviro of 1.2.4
 cc @gfyoung