CI/TST: Run http server in process instead of thread for test_user_agent.py
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them

Part 3 in trying to avoid timeouts in this test

ok let's open/close this a few times to see if CI still ok thanks @mroeschke 