docs: update Session doctrings to include exceptions

[arwas11]

6Thank you for opening a Pull Request! Before submitting your PR, there are a few things you can do to make sure it goes smoothly:

• Make sure to open an issue as a bug/issue before writing your code! That way we can discuss the change, evaluate designs, and agree on the general idea
• Ensure the tests and linter pass
• Code coverage does not decrease (if any source code was changed)
• Appropriate docs were updated (if necessary):
  • read_gbq_query: screen/3Lgd5sqbXUoEXxp
  • read_gbq_table: screen/9FTpfsmfpT2Ni73
  • read_gbq: screen/BjyHZmopRVG2Gq3
  • read_json: screen/5RqZreELZtEYUS6

Fixes #296390934 🦕