Series.__setitem__ on DatetimeTZ values with tuples in the index fails

[TomAugspurger]

A bit of an edge case

In [1]: import pandas as pd

In [2]: arr = pd.date_range('2017', periods=4, tz='US/Eastern')

In [3]: s = pd.Series(arr, index=[(0, 1), (0, 2), (0, 3), (0, 4)])

In [4]: s[(0, 1)] = float('NaN')

---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
~/sandbox/pandas-ip/pandas/pandas/core/series.py in setitem(key, value)
    871             try:
--> 872                 self._set_with_engine(key, value)
    873                 return

~/sandbox/pandas-ip/pandas/pandas/core/series.py in _set_with_engine(self, key, value)
    930         try:
--> 931             self.index._engine.set_value(values, key, value)
    932             return

TypeError: Argument 'arr' has incorrect type (expected numpy.ndarray, got DatetimeIndex)

During handling of the above exception, another exception occurred:

ValueError                                Traceback (most recent call last)
<ipython-input-4-0a0fdcf8dcd6> in <module>()
----> 1 s[(0, 1)] = float('NaN')

~/sandbox/pandas-ip/pandas/pandas/core/series.py in __setitem__(self, key, value)
    922         # do the setitem
    923         cacher_needs_updating = self._check_is_chained_assignment_possible()
--> 924         setitem(key, value)
    925         if cacher_needs_updating:
    926             self._maybe_update_cacher()

~/sandbox/pandas-ip/pandas/pandas/core/series.py in setitem(key, value)
    904                 if (isinstance(key, tuple) and
    905                         not isinstance(self.index, MultiIndex)):
--> 906                     raise ValueError("Can only tuple-index with a MultiIndex")
    907
    908                 # python 3 type errors should be raised

ValueError: Can only tuple-index with a MultiIndex

xref #19907 (comment)