Docs say `Series()` accepts an iterable, but all iterables are not accepted

[Dr-Irv]

          Also, for `Series()`, the docs say that we accept an `Iterable`, but we don't accept all `Iterable` as values, e.g. sets.   So we should adjust the docs as well.

Originally posted by @Dr-Irv in #55425 (comment)

[LuigiSciarretta]

Hello,
I am interested in contributing to this issue and wanted to see if there is anyone working on it. If not, I would be happy to take care of it and send a pull request.
Thank you!

[Dr-Irv]

@LuigiSciarretta I've assigned it to you, so it's all yours