REF/TST: Add more pytest idiom to parsers tests
Adds more idiom to the following:

* `parser/comment` --> `parser/test_comment`
* `parser/converters` --> `parser/test_converters`
* `parser/compression` --> `parser/test_compression`
* `parser/dialect` --> `parser/test_dialect`

Builds off of #23712.

In the interest of keeping the diff somewhat manageable, I only modified these four (i.e. we can't get rid of `test_parsers.py` yet), so we're still in this weird intermediary state, but that's fine.