TST: add test on checking objects to concatenate
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

When looking through the enhancement xref #40820,
I noticed that there was no test checking that the ValueError is raised when concatenating an empty sequence.
Added this test.