Re-raise OSError as ClientConnectionError when failing to explicitly close connector socket (#10551)
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## What do these changes do?
This is a followup to #10464 to handle the case where `socket.close()`
can also raise. This matches the logic we have in aiohappyeyeballs:
https://github.com/aio-libs/aiohappyeyeballs/blob/e3bd5bdf44f5d187802de6dcb08d27e1ca6da048/src/aiohappyeyeballs/impl.py#L227
We shouldn't raising `OSError` externally from this method as callers
expect a `ClientError`
## Are there changes in behavior for the user?
bugfix
## Is it a substantial burden for the maintainers to support this?
no
## Related issue number
fixes #10506
## Checklist
- [x] I think the code is well written
- [x] Unit tests for the changes exist
- [x] Documentation reflects the changes
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- [x] Add a new news fragment into the `CHANGES/` folder
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```rst
Fixed issue with non-ascii contents in doctest text files
-- by :user:`contributor-gh-handle`.
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(cherry picked from commit d067260df75e4d04a23a0481cf9cf8f7194c80f1)