Explicitly close initial connection

The initial socket needs to be explicitly closed to avoid "ResourceWarning: unclosed <ssl.SSLSocket fd= ...>" warnings from urllib3.

In the self.session case, this is also needed to avoid connection pool starvation. This is observed when sessions are forced to only have one connection:

   s = Session()
   s.mount('https://', adapters.HTTPAdapter(pool_block=True, pool_connections=1, pool_maxsize=1))