Scipy Warning Issued Only After LinearRegression calls

### Describe the bug

I am working on a project for work and the data is sensitive and I share those files.  I've reduced the issue to the attached code and longer description.

I get scipy MatReadWarnings when I called sklearn linear regression module.  Further, the mat read warning I get is a deprecated method.  This warning shows up if and only if I call the linear regression function that uses the sklearn.linear_model.LinearRegression class, just importing it did not cause any issues.  No warning messages appeared.

My environment is using scipy 1.10.1 and scikit-learn 1.2.2.

Any thoughts?

### Steps/Code to Reproduce

I am working on a project for work and the data is sensitive and I share those files.  I've reduced the issue to the following code.

```python
import scipy.io as sio
from sklearn.linear_model import LinearRegression as LR
import time

def linreg(x,y):
    model = LR().fit(x,y)
    r = model.score(x,y)
    fitx = [min(x),max(x)]
    fity = model.predict(fitx)
    
    return r, fitx, fity


if __name__ == '__main__':
    
    
    fname = 'file{}.mat'
    for i in range(5):
        print("Loop {}".format(i))
        mat = sio.matlab.loadmat(fname.format(i))
        
        print("Mat Loaded")
        
        x = mat['Var0']
        y = mat['Var1']
 
        r, fx, fy = linreg(x,y)
        print("sklearn Called")
        time.sleep(1)
```

If I run this code- I get this output 

> Loop 0
> Mat Loaded
> sklearn Called
> C:\...\anaconda3\envs\HCAcal\lib\site-packages\scipy\io\matlab\_mio.py:227: MatReadWarning: Duplicate variable name "None" in stream - replacing previous with new
> Consider mio5.varmats_from_mat to split file into single variable files
>   matfile_dict = MR.get_variables(variable_names)

If I comment out the line `r, fx, fy = linreg(x,y)` no error message appears.
If I comment out the line time.sleep(1) then there is a bit more randomness to the output. In the sense it will do it in groups of 3-5:

> Loop 0
> Mat Loaded
> sklearn Called
> Loop 1
> Mat Loaded
> sklearn Called
> C:\...\anaconda3\envs\HCAcal\lib\site-packages\scipy\io\matlab\_mio.py:227: MatReadWarning: Duplicate variable name "None" in stream - replacing previous with new
> Consider mio5.varmats_from_mat to split file into single variable files
>   matfile_dict = MR.get_variables(variable_names)
> C:\...\anaconda3\envs\HCAcal\lib\site-packages\scipy\io\matlab\_mio.py:227: MatReadWarning: Duplicate variable name "None" in stream - replacing previous with new
> Consider mio5.varmats_from_mat to split file into single variable files
>   matfile_dict = MR.get_variables(variable_names)

Finally, a really bizzare issue is that if I comment out the `linreg` call after having it on, the first time I run the script with it commented out throws the same warning, but then it disappears for the rest of them.  And I run it back to back commented out, no warning.  So that goes-
LinReg Call - All get Warnings
LinReg Commented Out First Time - First one gets warning
LinReg commented Out after first - No Warning

I have tried to create a test set of mat files to share but I have not been able to do so.  One would think it is related to my Mats, but I have triple checked that there is no variable 'None' in any of them, let alone duplicates.  Which also seems like part of a garbage collection step, but I'm just making noise on that.  No idea.  The biggest thing is that this error does not happen when I load the mat and do not call LinearRegression module from scikit-learn.  

It would seem there is some memory freeing issue but I cannot really figure out anything interesting using the garbage tools in python.  I tried to create large mat files to simulate the ones I cannot share, but so far, the problem is a unique to the mat files as well.  Which doesn't help matters, but the issue still stands that I get a deprecated warning from scikit learn for scipy.

Finally, the message output is actually deprecated in scipy 1.10.1
https://github.com/scipy/scipy/blob/main/scipy/io/matlab/mio5.py

My environment is using scipy 1.10.1 and scikit-learn 1.2.2.


Any thoughts?

### Expected Results

> Loop 0
> Mat Loaded
> sklearn Called
> Loop 1
> Mat Loaded
> sklearn Called

### Actual Results

> Loop 0
> Mat Loaded
> sklearn Called
> C:\...\anaconda3\envs\HCAcal\lib\site-packages\scipy\io\matlab\_mio.py:227: MatReadWarning: Duplicate variable name "None" in stream - replacing previous with new
> Consider mio5.varmats_from_mat to split file into single variable files
>   matfile_dict = MR.get_variables(variable_names)
> Loop 1
> Mat Loaded
> sklearn Called
> C:\...\anaconda3\envs\HCAcal\lib\site-packages\scipy\io\matlab\_mio.py:227: MatReadWarning: Duplicate variable name "None" in stream - replacing previous with new
> Consider mio5.varmats_from_mat to split file into single variable files
>   matfile_dict = MR.get_variables(variable_names)

### Versions

```shell
System:
    python: 3.10.10 | packaged by Anaconda, Inc. | (main, Mar 21 2023, 18:39:17) [MSC v.1916 64 bit (AMD64)]
executable: C:\Users\i12500198\AppData\Local\anaconda3\envs\HCAcal\python.exe
   machine: Windows-10-10.0.19045-SP0

Python dependencies:
      sklearn: 1.2.2
          pip: 23.1.2
   setuptools: 67.8.0
        numpy: 1.24.3
        scipy: 1.10.1
       Cython: None
       pandas: 1.5.3
   matplotlib: 3.7.1
       joblib: 1.2.0
threadpoolctl: 2.2.0

Built with OpenMP: True

threadpoolctl info:
       filepath: C:\Users\i12500198\AppData\Local\anaconda3\envs\HCAcal\Library\bin\mkl_rt.1.dll
         prefix: mkl_rt
       user_api: blas
   internal_api: mkl
        version: 2021.4-Product
    num_threads: 8
threading_layer: intel

       filepath: C:\Users\i12500198\AppData\Local\anaconda3\envs\HCAcal\vcomp140.dll
         prefix: vcomp
       user_api: openmp
   internal_api: openmp
        version: None
    num_threads: 16

       filepath: C:\Users\i12500198\AppData\Local\anaconda3\envs\HCAcal\Library\bin\libiomp5md.dll
         prefix: libiomp
       user_api: openmp
   internal_api: openmp
        version: None
    num_threads: 16
```

COMMENT:
I'll close this for now. Feel free to re-open it if it turns out to be scikit-learn related.

Labels: Bug, Needs Investigation