BLD/CI: ResourceWarnings are back (sometimes)!
In #22225, #23192 (and now #23582), I've had persistent a `ResourceWarning` the last few CI runs. I first thought it was a flaky thing like those warnings used to be, but this time, it stayed, and I can reproduce *some of it* locally (not with `pytest pandas/tests/io/test_parquet.py`, but at least with `pytest pandas/tests/io`).

For example in:
1. https://travis-ci.org/pandas-dev/pandas/jobs/453820311
1. https://travis-ci.org/pandas-dev/pandas/jobs/453822449
1. https://travis-ci.org/pandas-dev/pandas/jobs/454102793
1. https://travis-ci.org/pandas-dev/pandas/jobs/454342935
1. https://travis-ci.org/pandas-dev/pandas/jobs/454644088
1. https://travis-ci.org/pandas-dev/pandas/jobs/454644964
1. https://travis-ci.org/pandas-dev/pandas/jobs/454744932
1. https://travis-ci.org/pandas-dev/pandas/jobs/454760670
1. https://travis-ci.org/pandas-dev/pandas/jobs/454760916
```
sys:1: ResourceWarning: unclosed <socket.socket fd=16, family=AddressFamily.AF_INET, type=2050, proto=0, laddr=('0.0.0.0', 0)>
sys:1: ResourceWarning: unclosed <socket.socket fd=15, family=AddressFamily.AF_INET, type=2050, proto=0, laddr=('0.0.0.0', 0)>
```
and 
```
=============================== warnings summary ===============================
pandas/core/frame.py::pandas.core.frame.DataFrame.to_parquet
  /home/travis/build/pandas-dev/pandas/pandas/io/parquet.py:129: ResourceWarning: unclosed file <_io.BufferedReader name='df.parquet.gzip'>
    **kwargs).to_pandas()
```

There's also a `stderr` (or `stdout`) warning from the parser-tests surfacing somewhere:
```
..............................................................x...........................................................s....
........................................Skipping line 3: Expected 3 fields in line 3, saw 4
.......................................s.......................................................................................
```

I've narrowed *one* of the ResourceWarning down to the parquet-s3 tests, but at least one other one remains that I haven't been able to track (same for the `skipped line` warning). I couldn't grep anything about `'df.parquet.gzip'` in various combinations, and tried disabling anything related to `'gzip'` or S3 or `_io` in several trial runs in #23192, to no avail.

Any help would be appreciated. Would also be interested to hear if someone else has seen them already. The code in the PRs I linked on top cannot reasonably be the culprit (e.g. #23582 just adds tests)...

Potentially related xref: #22934