Length information in error message of sanitize_index
It may be helpful for quicker debugging to provide information of data and index lengths in the error message in sanitize_index function:
https://github.com/pandas-dev/pandas/blob/2115bf3d58ecc20aa2b10e05574eaa06de1e56ec/pandas/core/internals/construction.py#L516

The modified code could be:
raise ValueError(f'Length of values {len(data)} does not match length of index {len(index)}')
