REGR: SeriesGroupBy where index has a tuple name fails
- [x] closes #37755
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

The groupby code that calls `Series.__getitem__` catches `KeyError` and `TypeError`. If a tuple is fed into an `Index` that is not a `MultiIndex`, we were raising a `ValueError` but `KeyError` seems more appropriate here and also fixes the regression.

While working on this, I found that we raise a `KeyError` inappropriately if an index of tuples contains duplicates, however this exists back in 1.0.x and so is not part of the regression. I've opened #37800 for this.