API/BUG: raise only KeyError failed on geitem/loc lookups
- [x] closes #21567
- [ ] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

ATM we raise a mix of KeyError and TypeError.

I'm in the process of going through the Indexing issues will see what else this closes.