TST: Add more information for unexpected warnings

[gfyoung]

Title is self-explanatory.

This will be useful for uncovering the problematic files (hopefully) if / when #21763 rears its head.

[jreback]

what does this look like when it shows the warnings?

[gfyoung]

import pandas.util.testing as tm
import warnings
with tm.assert_produces_warning(None):
    warnings.warn("Warning!")
...
Traceback (most recent call last):
...
AssertionError: Caused unexpected warning(s): [('UserWarning', 'Warning!', '__main__', 2)].

[codecov]

Codecov Report

Merging #21779 into master will not change coverage.
The diff coverage is 0%.

@@           Coverage Diff           @@
##           master   #21779   +/-   ##
=======================================
  Coverage   91.94%   91.94%           
=======================================
  Files         160      160           
  Lines       49819    49819           
=======================================
  Hits        45806    45806           
  Misses       4013     4013

Flag	Coverage Δ
#multiple	90.32% <0%> (ø)	⬆️
#single	42.07% <0%> (ø)	⬆️

Impacted Files	Coverage Δ
pandas/util/testing.py	85.33% <0%> (ø)	⬆️

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