[3.11] gh-107913: Fix possible losses of OSError error codes (GH-107930) (GH-108524)

Functions like PyErr_SetFromErrno() and SetFromWindowsErr() should be
called immediately after using the C API which sets errno or the Windows
error code.
(cherry picked from commit 2b15536fa94d07e9e286826c23507402313ec7f4)