[3.11] GH-103472: close response in HTTPConnection._tunnel (GH-103473) (#104077)

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

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

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(cherry picked from commit 9de0cf20fa0485e327e57cc0864c7476da85cfad)

Co-authored-by: Thomas Grainger <tagrain@gmail.com>
Co-authored-by: Gregory P. Smith <greg@krypto.org>