[3.11] gh-105375: Harden _ssl initialisation (#105599) (#105651)

(cherry picked from commit 01f4230460454d4a849a5ba93320142c1a0c93a8)

Add proper error handling to prevent reference leaks and overwritten
exceptions.

Co-authored-by: Erlend E. Aasland <erlend.aasland@protonmail.com>