[3.12] gh-113280: Always close socket if SSLSocket creation failed (GH-114659) (GH-114995)

(cherry picked from commit 0ea366240b75380ed7568acbe95d72e481a734f7)

Co-authored-by: Serhiy Storchaka <storchaka@gmail.com>
Co-authored-by: Thomas Grainger <tagrain@gmail.com>