More helpful Stata object dtype error. (#23572)
- [x] closes #23572
- [ ] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

This changes the error message shown when trying to write a non-string column with dtype `object` to Stata. It also includes the name of the offending column in the error message.