Possible Common error - request for better error message

## Issue

In the following we draw in an Abstract matrix for `g`
https://github.com/CliMA/EnsembleKalmanProcesses.jl/blob/f8698311814c70489c1b8ccf9375d6bfa359fc87/src/EnsembleKalmanProcess.jl#L847

It is posisble that users construct observations for g (as they have done for the observation) to pass in

## Possible solution

We should catch this error - or at least write a better error message for this and add it to our list on the documentation

Start at src/EnsembleKalmanProcess.jl around line 847 and reproduce the case where users construct observations for g as they did for the observation. Determine whether the resulting error can be caught or made clearer, then document the case and verify that the reported failure is understandable.

Written by the indexing model from the issue text.