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_13_proxy_auth.py

@@ -48,7 +48,6 @@ class TestProxyAuth:
             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), no auth
     def test_13_01_proxy_no_auth(self, env: Env, httpd, configures_httpd):