gh-105539: Fix ResourceWarning from unclosed SQLite connections in test_sqlite3 (#108360)

Follow up to 1a1bfc2891.

Explicitly manage connections in:

- test_audit.test_sqlite3
- test_sqlite3.test_audit
- test_sqlite3.test_backup

Co-authored-by: Erlend E. Aasland <erlend@python.org>

Lib/test/test_sqlite3/test_backup.py

@@ -137,7 +137,7 @@ class BackupTests(unittest.TestCase):
             raise SystemError('nearly out of space')
 
         with self.assertRaises(SystemError) as err:
-            with sqlite.connect(':memory:') as bck:
+            with memory_database() as bck:
                 self.cx.backup(bck, progress=progress)
         self.assertEqual(str(err.exception), 'nearly out of space')