feat: improve error message when no session is found

[aeneasr]

Related issue(s)

Checklist

• I have read the contributing guidelines.
• I have referenced an issue containing the design document if my change
  introduces a new feature.
• I am following the
  contributing code guidelines.
• I have read the security policy.
• I confirm that this pull request does not address a security
  vulnerability. If this pull request addresses a security vulnerability, I
  confirm that I got the approval (please contact
  security@ory.sh) from the maintainers to push
  the changes.
• I have added tests that prove my fix is effective or that my feature
  works.
• I have added or changed the documentation.

Further Comments

[codecov]

Codecov Report

Merging #2988 (81a11c1) into master (0b109cd) will increase coverage by 0.32%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master    #2988      +/-   ##
==========================================
+ Coverage   75.92%   76.25%   +0.32%     
==========================================
  Files         310      309       -1     
  Lines       19128    19069      -59     
==========================================
+ Hits        14523    14541      +18     
+ Misses       3480     3407      -73     
+ Partials     1125     1121       -4     

Impacted Files	Coverage Δ
session/error.go	100.00% <ø> (ø)
session/handler.go	67.94% <100.00%> (ø)
selfservice/strategy/oidc/provider_lark.go
selfservice/strategy/oidc/provider_config.go	34.04% <0.00%> (+1.38%)	⬆️
persistence/sql/persister_courier.go	88.09% <0.00%> (+4.76%)	⬆️
courier/courier_dispatcher.go	59.21% <0.00%> (+15.78%)	⬆️

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