esm: better error message for unsupported URL

The default ESM loader supports only file and data URLs.
This PR adds better error message for it.

PR-URL: https://github.com/nodejs/node/pull/31129


Reviewed-By: Gus Caplan <me@gus.host>
Reviewed-By: Guy Bedford <guybedford@gmail.com>
Reviewed-By: James M Snell <jasnell@gmail.com>
Reviewed-By: Rich Trott <rtrott@gmail.com>
Reviewed-By: Luigi Pinca <luigipinca@gmail.com>
Reviewed-By: Ruben Bridgewater <ruben@bridgewater.de>