Add changelog for bugfix

Author: fjetter

doc/source/whatsnew/v0.23.0.txt

@@ -1190,6 +1190,7 @@ Sparse
 Reshaping
 ^^^^^^^^^
 
+- Bug in :func:`DataFrame.merge` where referencing a `CategoricalIndex` by name in the `by` param raises a `KeyError`
 - Bug in :func:`DataFrame.stack` which fails trying to sort mixed type levels under Python 3 (:issue:`18310`)
 - Bug in :func:`DataFrame.unstack` which casts int to float if ``columns`` is a ``MultiIndex`` with unused levels (:issue:`17845`)
 - Bug in :func:`DataFrame.unstack` which raises an error if ``index`` is a ``MultiIndex`` with unused labels on the unstacked level (:issue:`18562`)