BUG: to_datetime() returns object instead of datetime type or raising exception
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
print(pd.to_datetime(['2021-03-14 12:05:45 -0400', '2021-03-14 03:06:00 -0400']))
print(pd.to_datetime(['2021-03-14 01:06:30 -0500', '2021-03-13 23:23:40 -0500']))
print(pd.to_datetime(['2021-03-14 03:06:00 -0400', '2021-03-14 01:06:30 -0500'], errors='raise'))
print(pd.to_datetime(['2021-03-14 03:06:00 -0400', '2021-03-14 01:06:30 -0500'], errors='coerce'))
print(pd.to_datetime(['2021-03-14 03:06:00 -0400', '2021-03-14 01:06:30 -0500'], errors='ignore'))
```
The output is
```
DatetimeIndex(['2021-03-14 12:05:45-04:00', '2021-03-14 03:06:00-04:00'], dtype='datetime64[ns, pytz.FixedOffset(-240)]', freq=None)
DatetimeIndex(['2021-03-14 01:06:30-05:00', '2021-03-13 23:23:40-05:00'], dtype='datetime64[ns, pytz.FixedOffset(-300)]', freq=None)
Index([2021-03-14 03:06:00-04:00, 2021-03-14 01:06:30-05:00], dtype='object')
Index([2021-03-14 03:06:00-04:00, 2021-03-14 01:06:30-05:00], dtype='object')
Index([2021-03-14 03:06:00-04:00, 2021-03-14 01:06:30-05:00], dtype='object')
```
#### Problem description

The first two lines work as expected, but the following three lines do not return a `DatetimeIndex` but also don't raise any exceptions in the process. This behavior is undocumented, and quite hard to debug/track down, since the failure is completely silent. It seems that the reason is the input contains times from two different time zones.

#### Expected Output
Either a DatetimeIndex object or an exception to be raised.
 
#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : 7c48ff4409c622c582c56a5702373f726de08e96
python           : 3.9.1.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 20.5.0
Version          : Darwin Kernel Version 20.5.0: Sat May  8 05:10:33 PDT 2021; root:xnu-7195.121.3~9/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.5
numpy            : 1.19.5
pytz             : 2020.5
dateutil         : 2.8.1
pip              : 21.1.2
setuptools       : 49.2.1
Cython           : None
pytest           : 6.2.4
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : 2.8.6 (dt dec pq3 ext lo64)
jinja2           : 2.11.2
IPython          : 7.22.0
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.3
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.6.0
sqlalchemy       : 1.4.2
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

</details>
