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When a scatter plot is created with (x=[NaN], y=[NaN]), a call to legend will raise a ValueError exception. The error appears when the two conditions are met while calling scatter:
The length of s= (marker size) is equal to the data length
No points are plotted, i. e. for each index, x[index] or y[index] is NAN or INFINITY
For example, this will also raise the exception: scatter([NAN, 2], [3, NAN], marker="o", s=[3, 4])
burak1000 provided more information about the issue on SO!