TST: convert yield based test_pickle.py to parametrized to remove warnings
xref #15341

# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15416?src=pr&el=h1) Report
> Merging [#15416](https://codecov.io/gh/pandas-dev/pandas/pull/15416?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/d6f8b460325fd79faa90858e2743878a7cc74dec?src=pr&el=desc) will **increase** coverage by `<.01%`.
> The diff coverage is `n/a`.


```diff
@@            Coverage Diff             @@
##           master   #15416      +/-   ##
==========================================
+ Coverage   90.36%   90.36%   +<.01%     
==========================================
  Files         135      135              
  Lines       49438    49438              
==========================================
+ Hits        44675    44677       +2     
+ Misses       4763     4761       -2
```


| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/15416?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/tseries/index.py](https://codecov.io/gh/pandas-dev/pandas/compare/d6f8b460325fd79faa90858e2743878a7cc74dec...a6af57641cb9f1ddfa112536e27d7d005c5fc051?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvaW5kZXgucHk=) | `95.32% <ø> (-0.1%)` | :x: |
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/compare/d6f8b460325fd79faa90858e2743878a7cc74dec...a6af57641cb9f1ddfa112536e27d7d005c5fc051?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `81.97% <ø> (+0.18%)` | :white_check_mark: |
| [pandas/core/common.py](https://codecov.io/gh/pandas-dev/pandas/compare/d6f8b460325fd79faa90858e2743878a7cc74dec...a6af57641cb9f1ddfa112536e27d7d005c5fc051?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY29tbW9uLnB5) | `91.36% <ø> (+0.33%)` | :white_check_mark: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15416?src=pr&el=continue).
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> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/15416?src=pr&el=footer). Last update [d6f8b46...a6af576](https://codecov.io/gh/pandas-dev/pandas/compare/d6f8b460325fd79faa90858e2743878a7cc74dec...a6af57641cb9f1ddfa112536e27d7d005c5fc051?el=footer&src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).