pytest: close file handles after use, and two minor tidy-ups

Also:
- drop two unreachable return statements.
- test_17_ssl_use: avoid implicit string concatenations in lists.

Reported by GitHub CodeQL

Closes #21916

tests/http/test_10_proxy.py

@@ -57,7 +57,6 @@ class TestProxy:
             if m:
                 return m.group(1)
         assert False, f'tunnel protocol not found in:\n{"".join(r.trace_lines)}'
-        return None
 
     # download via http: proxy (no tunnel)
     def test_10_01_proxy_http(self, env: Env, httpd):
@@ -105,9 +104,11 @@ class TestProxy:
                              extra_args=xargs)
         r.check_response(count=count, http_status=200,
                          protocol='HTTP/2' if proto == 'h2' else 'HTTP/1.1')
-        indata = open(srcfile).readlines()
+        with open(srcfile) as fi:
+            indata = fi.readlines()
         for i in range(count):
-            respdata = open(curl.response_file(i)).readlines()
+            with open(curl.response_file(i)) as fr:
+                respdata = fr.readlines()
             assert respdata == indata
 
     # download http: via http: proxytunnel
@@ -229,9 +230,11 @@ class TestProxy:
         assert self.get_tunnel_proto_used(r) == tunnel
         r.check_response(count=count, http_status=200)
         assert r.total_connects == 1, r.dump_logs()
-        indata = open(srcfile).readlines()
+        with open(srcfile) as fi:
+            indata = fi.readlines()
         for i in range(count):
-            respdata = open(curl.response_file(i)).readlines()
+            with open(curl.response_file(i)) as fr:
+                respdata = fr.readlines()
             assert respdata == indata, f'response {i} differs'
 
     @pytest.mark.skipif(condition=not Env.have_ssl_curl(), reason="curl without SSL")