Regression in merge_asof raising KeyError when at least one by columnis in index
- [x] xref #34488 
- [x] closes https://github.com/pandas-dev/pandas/issues/29130
- [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

This time correctly. This should cover the index case missed in the past