CI/TST: use https to avoid ResourceWarning in html tests
See #36467 
(no idea if this would actually fix anything, just mimicking what @alimcmaster1 did in https://github.com/pandas-dev/pandas/pull/36480)
At least it passed once .. ;) Also passed a second time, so let's merge to see what happens @simonjayhawkins is this something that needs to be backported? > @simonjayhawkins is this something that needs to be backported?

the coverage build is failing on 1.1.x, #37309, so no need to backport for now.