STYLE keep local imports relative
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them

xref [this comment](https://github.com/pandas-dev/pandas/pull/39561#discussion_r575644482):

> > more generally, i like relative imports for same-directory as it clarified dependency structure
> 
> +1, I also find this helpful. I think it should certainly be doable to have a check that relative imports are never outside the local directory

@jorisvandenbossche @jbrockmendel is this what you had in mind?

Like this, imports in the same folder are relative, and those outside are absolute.

So, for example, in `pandas/_testing/_io.py`:
- `from pandas.io.common import urlopen` stays absolute
- `from pandas._testing.contexts import ensure_clean` becomes `from .contexts import ensure_clean`
Sure :+1: