[3.9] bpo-30677: [doc] mention that os.mkdir() can raise FileNotFoundError (GH-31548) (GH-31878)

(cherry picked from commit 879fbd9472753149b627f32add3ddca90ac47ab7)


Co-authored-by: slateny <46876382+slateny@users.noreply.github.com>

Automerge-Triggered-By: GH:iritkatriel