BUG: corrupted SAS datasets retain file handles
- [ ] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the latest version of pandas.

- [X] (optional) I have confirmed this bug exists on the master branch of pandas.

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**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas as pd
from pathlib import Path

path = ...
p = Path(path, 'corrupt.sas7bdat')
try:
    pd.read_sas(p)
except:
    input("Press enter to release file")
```

#### Problem description

When I run the above script with a corrupt database like the one attached [corrupt.zip](https://github.com/pandas-dev/pandas/files/5028407/corrupt.zip) the Python process my Windows system ends up holding on to the open file.

I can tell that the file has not been correctly closed on error since, for example, other processes cannot open the same file.

#### Expected Output

While the main Python process is waiting for input, other processes should be able to read the given file.

I can't find any way of finding out if the current Python process has an open file handle on a given file, but it is expected behaviour that other processes should be able to access the file before

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : d9fff2792bf16178d4e450fe7384244e50635733
python           : 3.7.1.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.17763
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None
pandas           : 1.1.0
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 10.0.1
setuptools       : 39.0.1
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : None

</details>
