MAINT: Complete Conversion to Pytest Idiom
* Convert all test setup/teardown to `pytest` idiom
* Remove any classes that inherit from `unittest.TestCase`
* Update documentation that we are still using `tm.TestCase`

Closes #15990.

`pytest` idiom for test setup/teardown can be found <a href="https://docs.pytest.org/en/2.7.3/xunit_setup.html">here</a>.