MAINT: Use context manager in test_c_parser_only
Specifically, use context manager for `pytest.raises`.

xref #24332.
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=h1) Report
> Merging [#24512](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/100ffffa0ace51baac7045ca51fecf228e54bc5b?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/24512/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #24512   +/-   ##
=======================================
  Coverage   31.89%   31.89%           
=======================================
  Files         166      166           
  Lines       52421    52421           
=======================================
  Hits        16722    16722           
  Misses      35699    35699
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `30.29% <ø> (ø)` | :arrow_up: |
| #single | `31.89% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24512?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/24512?src=pr&el=footer). Last update [100ffff...b715f10](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=h1) Report
> Merging [#24512](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/100ffffa0ace51baac7045ca51fecf228e54bc5b?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/24512/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #24512   +/-   ##
=======================================
  Coverage   31.89%   31.89%           
=======================================
  Files         166      166           
  Lines       52421    52421           
=======================================
  Hits        16722    16722           
  Misses      35699    35699
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `30.29% <ø> (ø)` | :arrow_up: |
| #single | `31.89% <ø> (ø)` | :arrow_up: |


------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/24512?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/24512?src=pr&el=footer). Last update [100ffff...b715f10](https://codecov.io/gh/pandas-dev/pandas/pull/24512?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks