BUG: Return KeyError for invalid string key

[toobaz]

• closes Indexing into a series with multi-index containing periods raises an exception #22803
• tests added / passed
• passes git diff upstream/master -u -- "*.py" | flake8 --diff
• whatsnew entry

In principle, it is nice to raise different errors if the string is invalid, or if the resulting period is missing. However, we want, and need, methods such as .loc to return errors of predictable types.
And indeed, this is how PeriodIndex, for instance, works:

In [2]: pd.date_range('2010-10-10', '2010-10-11').get_loc('pippo')
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)

[...]

/home/nobackup/repo/pandas/pandas/core/indexes/datetimes.py in get_loc(self, key, method, tolerance)
   1019                 if 'list-like' in str(e):
   1020                     raise e
-> 1021                 raise KeyError(key)
   1022 
   1023     def _maybe_cast_slice_bound(self, label, side, kind):

KeyError: 'pippo'

[pep8speaks]

Hello @toobaz! Thanks for submitting the PR.

• There are no PEP8 issues in the file pandas/core/indexes/period.py !

• There are no PEP8 issues in the file pandas/tests/indexes/period/test_indexing.py !

[toobaz]

@Licht-T

[codecov]

Codecov Report

Merging #23540 into master will increase coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           master   #23540      +/-   ##
==========================================
+ Coverage   92.25%   92.25%   +<.01%     
==========================================
  Files         161      161              
  Lines       51207    51212       +5     
==========================================
+ Hits        47239    47244       +5     
  Misses       3968     3968

Flag	Coverage Δ
#multiple	90.63% <100%> (ø)	⬆️
#single	42.28% <14.28%> (-0.01%)	⬇️

Impacted Files	Coverage Δ
pandas/core/indexes/period.py	92.25% <100%> (+0.08%)	⬆️

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[jreback]

lgtm.

[TomAugspurger]

Thanks!