MAINT: tm.assert_raises_regex --> pytest.raises
`pytest.raises` has all of the functionality that we need from `tm.assert_raises_regex`.

Closes #16521 (for good this time! 🙂 ).

If this is something we would like to have for `0.24.0`, I would ask that this get reviewed and merged ASAP, given how massive the refactoring is and the high probability of merge conflicts.

cc @pandas-dev/pandas-core