STY: use pytest.raises context manager (io.sql)
xref #24332
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=h1) Report
> Merging [#25597](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/b72e7ed320de4d5b9aa8e0b7f2166cee2c7e6fdf?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/25597/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #25597   +/-   ##
=======================================
  Coverage   91.26%   91.26%           
=======================================
  Files         173      173           
  Lines       52966    52966           
=======================================
  Hits        48338    48338           
  Misses       4628     4628
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.83% <ø> (ø)` | :arrow_up: |
| #single | `41.71% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=footer). Last update [b72e7ed...a3d342b](https://codecov.io/gh/pandas-dev/pandas/pull/25597?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @simonjayhawkins 