urllib.urequest: If error happens while parsing response headers, close socket.

Because otherwise, user doesn't get any response object, so cannot close
socket, and it leaks.

urllib.urequest/urllib/urequest.py

@@ -22,7 +22,9 @@ def urlopen(url, data=None, method="GET"):
 
     ai = usocket.getaddrinfo(host, port)
     addr = ai[0][4]
+
     s = usocket.socket()
+    try:
         s.connect(addr)
         if proto == "https:":
             s = ussl.wrap_socket(s, server_hostname=host)
@@ -56,5 +58,8 @@ def urlopen(url, data=None, method="GET"):
                     raise ValueError("Unsupported " + l)
             elif l.startswith(b"Location:"):
                 raise NotImplementedError("Redirects not yet supported")
+    except OSError:
+        s.close()
+        raise
 
     return s