Issue #15767: Touch up ModuleNotFoundError usage by import.

Forgot to raise ModuleNotFoundError when None is found in sys.modules.
This led to introducing the C function PyErr_SetImportErrorSubclass()
to make setting ModuleNotFoundError easier.

Also updated the reference docs to mention ModuleNotFoundError
appropriately. Updated the docs for ModuleNotFoundError to mention the
None in sys.modules case.

Lastly, it was noticed that PyErr_SetImportError() was not setting an
exception when returning None in one case. That issue is now fixed.
diff --git a/Doc/c-api/exceptions.rst b/Doc/c-api/exceptions.rst
index 1bdcdd3..25e2a1c 100644
--- a/Doc/c-api/exceptions.rst
+++ b/Doc/c-api/exceptions.rst
@@ -292,6 +292,13 @@
 
    .. versionadded:: 3.3
 
+.. c:function:: PyObject* PyErr_SetImportErrorSubclass(PyObject *msg, PyObject *name, PyObject *path)
+
+   Much like :c:func:`PyErr_SetImportError` but this function allows for
+   specifying a subclass of :exc:`ImportError` to raise.
+
+   .. versionadded:: 3.4
+
 
 .. c:function:: void PyErr_SyntaxLocationEx(char *filename, int lineno, int col_offset)