GH-103472: close response in HTTPConnection._tunnel (#103473)

Avoid a potential `ResourceWarning` in `http.client.HTTPConnection`
by closing the proxy / tunnel's CONNECT response explicitly.

---------

Co-authored-by: Gregory P. Smith <greg@krypto.org>

Lib/test/test_httplib.py

@@ -2390,6 +2390,29 @@ class TunnelTests(TestCase):
         lines = output.getvalue().splitlines()
         self.assertIn('header: {}'.format(expected_header), lines)
 
+    def test_tunnel_leak(self):
+        sock = None
+
+        def _create_connection(address, timeout=None, source_address=None):
+            nonlocal sock
+            sock = FakeSocket(
+                'HTTP/1.1 404 NOT FOUND\r\n\r\n',
+                host=address[0],
+                port=address[1],
+            )
+            return sock
+
+        self.conn._create_connection = _create_connection
+        self.conn.set_tunnel('destination.com')
+        exc = None
+        try:
+            self.conn.request('HEAD', '/', '')
+        except OSError as e:
+            # keeping a reference to exc keeps response alive in the traceback
+            exc = e
+        self.assertIsNotNone(exc)
+        self.assertTrue(sock.file_closed)
+
 
 if __name__ == '__main__':
     unittest.main(verbosity=2)