BUG: _convert_and_box_cache raise ValueError: Tz-aware datetime.datetime cannot be converted to datetime64 unless utc=True
- [x] closes #N/A
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Bug was found there: https://github.com/pandas-dev/pandas/pull/26043#issuecomment-483214458
Reproduction:
```python
import pandas as pd
N = 10
half = int(N / 2)
ts_string_1 = 'March 1, 2018 12:00:00+0400'
ts_string_2 = 'March 1, 2018 12:00:00+0500'
diff_offset = [ts_string_1] * half + [ts_string_2] * half
pd.to_datetime(diff_offset, cache=True)
```