TST: Making use of tm.external_error_raised
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

After #31130 got merged, I can do what I couldn't do [here](https://github.com/pandas-dev/pandas/pull/30998#discussion_r368177775)

