CLN: Use keep fixture in more places
Follow up of #32487 - for [this comment of jreback](https://github.com/pandas-dev/pandas/pull/32487#issuecomment-599153289) in particular

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

