CI: close sockets in SQL tests (#35772)

Author: jbrockmendel

pandas/tests/io/test_sql.py

@@ -263,7 +263,8 @@ def _get_all_tables(self):
         return table_list
 
     def _close_conn(self):
-        pass
+        # https://docs.sqlalchemy.org/en/13/core/connections.html#engine-disposal
+        self.conn.dispose()
 
 
 class PandasSQLTest:
@@ -1242,7 +1243,7 @@ class _TestSQLAlchemy(SQLAlchemyMixIn, PandasSQLTest):
     def setup_class(cls):
         cls.setup_import()
         cls.setup_driver()
-        conn = cls.connect()
+        conn = cls.conn = cls.connect()
         conn.connect()
 
     def load_test_data_and_sql(self):