CLN: replace %s syntax with .format in core.indexing and core.internals
State: closed

- [x] Progress towards #16130
- [x] tests added / passed
- [x] passes git diff upstream/master -u -- "*.py" | flake8 --diff

Labels:
name: Code Style
description: Code style, linting, code_checks

Comments:
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=h1) Report
> Merging [#18331](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/a26b6767516dbbb89de3229ee65a3cb40ab497eb?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `76.19%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/18331/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #18331      +/-   ##
==========================================
- Coverage   91.38%   91.36%   -0.02%     
==========================================
  Files         164      164              
  Lines       49780    49790      +10     
==========================================
+ Hits        45491    45492       +1     
- Misses       4289     4298       +9
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.17% <76.19%> (ø)` | :arrow_up: |
| #single | `39.49% <4.76%> (-0.06%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `92.8% <0%> (ø)` | :arrow_up: |
| [pandas/core/internals.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW50ZXJuYWxzLnB5) | `94.54% <80%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.8% <0%> (-0.1%)` | :arrow_down: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `95.73% <0%> (ø)` | :arrow_up: |
| [pandas/core/series.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc2VyaWVzLnB5) | `95.02% <0%> (+0.01%)` | :arrow_up: |
| [pandas/core/sparse/series.py](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc3BhcnNlL3Nlcmllcy5weQ==) | `95.33% <0%> (+0.05%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=footer). Last update [a26b676...459a160](https://codecov.io/gh/pandas-dev/pandas/pull/18331?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).

lgtm. ping when green (after than tiny change).
@jreback last build green, change made to the error message as discussed 😄 
thanks!