REF/TST: Add more pytest idiom to parsers tests
Adds more idiom to the following:

* `parser/comment` --> `parser/test_comment`
* `parser/converters` --> `parser/test_converters`
* `parser/compression` --> `parser/test_compression`
* `parser/dialect` --> `parser/test_dialect`

Builds off of #23712.

In the interest of keeping the diff somewhat manageable, I only modified these four (i.e. we can't get rid of `test_parsers.py` yet), so we're still in this weird intermediary state, but that's fine.
Hello @gfyoung! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/conftest.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/conftest.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/test_comment.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/test_comment.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/test_compression.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/test_compression.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/test_converters.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/test_converters.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/test_dialect.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/test_dialect.py) !

 - There are no PEP8 issues in the file [`pandas/tests/io/parser/test_parsers.py`](https://github.com/gfyoung/pandas/blob/d2f762bdfcfb2de95801afb4959b74e3d0021087/pandas/tests/io/parser/test_parsers.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23761?src=pr&el=h1) Report
> Merging [#23761](https://codecov.io/gh/pandas-dev/pandas/pull/23761?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/24bce1a5fdd70a66b9fb5e2f9f51631d1df6add3?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/23761/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23761?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #23761   +/-   ##
=======================================
  Coverage   92.23%   92.23%           
=======================================
  Files         161      161           
  Lines       51408    51408           
=======================================
  Hits        47416    47416           
  Misses       3992     3992
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.62% <ø> (ø)` | :arrow_up: |
| #single | `42.3% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23761?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/23761?src=pr&el=footer). Last update [24bce1a...f6d291e](https://codecov.io/gh/pandas-dev/pandas/pull/23761?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Is this running the same number of tests as before? Might have missed it in another change but not immediately apparent how these are getting run for each of the subclasses.

Totally +1 on the change just want to double check we get the proper execution thanks @gfyoung some minor comments can followup with (or create issues if they are non-trivial). > Is this running the same number of tests as before? Might have missed it in another change but not immediately apparent how these are getting run for each of the subclasses.

@WillAyd : All of the tests are intact.  You are more than welcome to confirm. 🙂 