Error message of `read_parquet(..., columns=['non-existing-column'])` should include column list

**Feature request**

It would be really nice if, when a user mis-specified a column name in `read_parquet(..., columns=[...])`, the error message would include the list of all (nested or not) columns. I believe it would also help with `lsdb.open_catalog(..., columns=[...])`. Right now, it raises a `KeyError: "['non-existing-column'] not in index"` from pandas.

**Before submitting**
Please check the following:

- [x] I have described the purpose of the suggested change, specifying what I need the enhancement to accomplish, i.e. what problem it solves.
- [ ] I have included any relevant links, screenshots, environment information, and data relevant to implementing the requested feature, as well as pseudocode for how I want to access the new functionality.
- [ ] If I have ideas for how the new feature could be implemented, I have provided explanations and/or pseudocode and/or task lists for the steps.