BUG: Improved error msg
- [x] closes #9259
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hopefully this is a more informative message. The original bug report mentions that the index key also fails for Series but didn't report the error type, so I took my best guess at the reporter's intent in the test.