I'm pretty sure self.close() doesn't raise anything, but if it did it would be raised when __del__ is called.

It's tricky to test as I only managed to reproduce this intermittently

Several lines below an OSError raised by self.close() is ignored.
https://github.com/python/cpython/pull/113282/files#diff-f6439be9c66350dde4c35dbeea0352c96cc970ba12b0478f6ae36f10725bd8c5R1047-R1050

I wonder whether such guard is needed in these cases.

I think self.close() only raises if os.close(sock.fileno()) or socket.close(sock.fileno()) was called, which would be useful to raise because this would be a fd use after close bug

self.close() is called several times in this function, but there may be other errors which causes a leak. It is better to always close socket if SSLSocket creation failed. I created more general #114659 based on this PR.