BUG: MultiIndex KeyError message unreliable

[kwsp]

Pandas version checks

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• I have confirmed this bug exists on the latest version of pandas.

• I have confirmed this bug exists on the main branch of pandas.

Reproducible Example

import pandas as pd

# Expected
df = pd.DataFrame({("x", "x"): [1]})
df[("x", "y")] # throws KeyError: ('x', 'y')

# Bug
df = pd.DataFrame({("x", "x"): [1], ("y", "y"): [1]})
df[("x", "y")]  # throws KeyError: 6

Issue Description

Normally when indexing with a key that doesn't exist, Pandas throws a KeyError with the value of the key printed in the exception string.

When using MultiIndex as the column key and trying to index with a non-existent key, sometimes the KeyError throws the right name, sometimes it does not, which makes the error message arcane and difficult to debug.

Expected Behavior

When indexing with a key that doesn't exist, Pandas should always print the value of the key when throwing a KeyError. I.e. both examples above should throw KeyError: ('x', 'y')

Installed Versions

macOS

INSTALLED VERSIONS

commit : 06d2301
python : 3.10.1.final.0
python-bits : 64
OS : Darwin
OS-release : 21.1.0
Version : Darwin Kernel Version 21.1.0: Wed Oct 13 17:33:24 PDT 2021; root:xnu-8019.41.5~1/RELEASE_ARM64_T8101
machine : arm64
processor : arm
byteorder : little
LC_ALL : None
LANG : en_US.UTF-8
LOCALE : en_US.UTF-8

pandas : 1.4.1
numpy : 1.21.5
pytz : 2021.3
dateutil : 2.8.2
pip : 22.0.3
setuptools : 59.5.0
Cython : 0.29.28
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : 4.8.0
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 3.0.3
IPython : 8.1.0
pandas_datareader: None
bs4 : 4.10.0
bottleneck : None
fastparquet : None
fsspec : None
gcsfs : None
matplotlib : 3.5.1
numba : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyreadstat : None
pyxlsb : None
s3fs : None
scipy : 1.8.0
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : None
xlwt : None
zstandard : None

Windows

INSTALLED VERSIONS

commit : 06d2301
python : 3.10.0.final.0
python-bits : 64
OS : Windows
OS-release : 10
Version : 10.0.19042
machine : AMD64
processor : Intel64 Family 6 Model 165 Stepping 5, GenuineIntel
byteorder : little
LC_ALL : None
LANG : None
LOCALE : English_United States.1252

pandas : 1.4.1
numpy : 1.22.3
pytz : 2021.3
dateutil : 2.8.2
pip : 21.2.4
setuptools : 58.0.4
Cython : None
pytest : None
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : None
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 3.0.3
IPython : 8.1.1
pandas_datareader: None
bs4 : None
bottleneck : None
fastparquet : None
fsspec : None
gcsfs : None
matplotlib : 3.5.1
numba : None
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyreadstat : None
pyxlsb : None
s3fs : None
scipy : 1.7.3
sqlalchemy : None
tables : None
tabulate : None
xarray : None
xlrd : None
xlwt : None
zstandard : None

[phofl]

Duplicate of #44252