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

* `parser/header` --> `parser/test_header`
* `parser/dtypes` --> `parser/test_dtypes`
* `parser/index_col` --> `parser/test_index_col`
* `parser/mangle_dupes` --> `parser/test_mangle_dupes`

Builds off of #23712.