Fix test_sql pytest fixture warnings
- [y] closes #22338
- [y] tests added / passed
- [y] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

See Travis CI Python 3.6 build [before](https://travis-ci.org/pandas-dev/pandas/jobs/419432794) and [after](https://travis-ci.org/pandas-dev/pandas/jobs/420824121) my changes get rid of the warning for calling fixtures directly.

You can see this by searching for the string "pandas/tests/io/test_sql.py" to see that well over 100 warnings have been removed.