TST:  Fix sqlite3 transactions test
The sqlite connection is already in transaction when the test starts, so
when the test intentionally raises an exception, the entire transaction,
including the table creation, gets rolled back, so there is no table
to query.  Wrapping the table CREATE statement in its own transaction
avoids the issue.

- [x] closes #14719
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Is a whatsnew entry needed for a test fix issue?