CI, MAINT: Unclosed file ResourceWarning in EDF export

[drammock]

ResourceWarning: unclosed file related to EDF export

https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=15442&view=logs&j=fa98c7b3-575e-55b6-6946-22dea6f6daf8&t=c0866e65-eed5-5461-eadc-f0ff150eefd8&l=3120

Originally posted by @drammock in #9742 (comment)

cc @adam2392