ERR: Unify error message for bad excel sheetnames
- [x] closes #39250
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

IMO the core issue in #39250 is upstream in openpyxl, providing a better error message is really tangential to it. Since the error message that openpyxl raises is not a regression, it seemed best to me to (a) target this for 1.3 and (b) unify all error messages across engines.

If, on the other hand, we really do want to improve the error message in 1.2.2 because of the switch from xlrd to openpyxl, then I will open a new PR for 1.2.2 that only impacts openpyxl.

Will do a followup to remove the duplicate tests.

cc @simonjayhawkins @jorisvandenbossche 