BUG: HDFStore unable to create colindex w/o error thrown
- [x] closes #28156 
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

I found this discussion of the `data_columns` argument to `pd.HDFStore.create_table_index` really useful:
https://pandas.pydata.org/pandas-docs/stable/user_guide/io.html#query-via-data-columns