BUG: fix inserting tz-aware datetime to Series, closes #12862

doc/source/whatsnew/v0.25.0.rst

@@ -1051,6 +1051,7 @@ Indexing
 - Bug in :class:`Categorical` and  :class:`CategoricalIndex` with :class:`Interval` values when using the ``in`` operator (``__contains``) with objects that are not comparable to the values in the ``Interval`` (:issue:`23705`)
 - Bug in :meth:`DataFrame.loc` and :meth:`DataFrame.iloc` on a :class:`DataFrame` with a single timezone-aware datetime64[ns] column incorrectly returning a scalar instead of a :class:`Series` (:issue:`27110`)
 - Bug in :class:`CategoricalIndex` and :class:`Categorical` incorrectly raising ``ValueError`` instead of ``TypeError`` when a list is passed using the ``in`` operator (``__contains__``) (:issue:`21729`)
+- Bug in :class:`Series` setting a new key (``__setitem__``) with a timezone-aware datetime incorrectly raising ``ValueError`` (:issue:`12862`)
 -
 
 Missing

pandas/core/series.py

@@ -1230,6 +1230,13 @@ def setitem(key, value):
                 if _is_unorderable_exception(e):
                     raise IndexError(key)
 
+                if is_scalar(key) and not is_integer(key) and key not in self.index:
+                    # GH#12862 adding an new key to the Series
+                    # Note: ave to exclude integers because that is ambiguously
+                    #  position-based
+                    self.loc[key] = value
+                    return
+
             if com.is_bool_indexer(key):
                 key = check_bool_indexer(self.index, key)
                 try:

pandas/tests/series/indexing/test_indexing.py

@@ -523,7 +523,22 @@ def test_setitem_with_tz_dst():
     tm.assert_series_equal(s, exp)
 
 
-def test_categorial_assigning_ops():
+def test_setitem_new_key_tz():
+    # GH#12862 should not raise on assigning the second value
+    vals = [
+        pd.to_datetime(42).tz_localize("UTC"),
+        pd.to_datetime(666).tz_localize("UTC"),
+    ]
+
+    ser = pd.Series()
+    ser["foo"] = vals[0]
+    ser["bar"] = vals[1]
+
+    expected = pd.Series(vals, index=["foo", "bar"])
+    tm.assert_series_equal(ser, expected)
+
+
+def test_categorical_assigning_ops():
     orig = Series(Categorical(["b", "b"], categories=["a", "b"]))
     s = orig.copy()
     s[:] = "a"