Only close the underlying transport on errors

The documentation says that the transport passed to `loop.start_tls()` shouldn't
be used after that:
https://docs.python.org/3/library/asyncio-eventloop.html#asyncio.loop.start_tls

aiohttp/connector.py

@@ -1104,25 +1104,28 @@ async def _create_proxy_connection(
                             message=message,
                             headers=resp.headers,
                         )
-
-                    setattr(
-                        transport, "_start_tls_compatible", True
-                    )  # for https://github.com/python/cpython/pull/28073
-                    # Wrap the raw TCP transport with TLS:
-                    tls_transport = await self._loop.start_tls(
-                        # Access the old transport last time before it's closed and forgotten forever:
-                        transport,
-                        self._factory(),  # Create a brand new proto for TLS
-                        sslcontext,
-                        server_hostname=req.host,
-                        ssl_handshake_timeout=timeout.total,
-                    )
-                    tls_transport.get_protocol().connection_made(
-                        tls_transport
-                    )  # Kick the state machine of the new TLS protocol
-                    return tls_transport, tls_transport.get_protocol()
-                finally:
+                except BaseException:
+                    # It shouldn't be closed in finally because it's fed to `loop.start_tls()`
+                    # and the docs say not to touch it after passing there.
                     transport.close()
+                    raise
+
+                setattr(
+                    transport, "_start_tls_compatible", True
+                )  # for https://github.com/python/cpython/pull/28073
+                # Wrap the raw TCP transport with TLS:
+                tls_transport = await self._loop.start_tls(
+                    # Access the old transport last time before it's closed and forgotten forever:
+                    transport,
+                    self._factory(),  # Create a brand new proto for TLS
+                    sslcontext,
+                    server_hostname=req.host,
+                    ssl_handshake_timeout=timeout.total,
+                )
+                tls_transport.get_protocol().connection_made(
+                    tls_transport
+                )  # Kick the state machine of the new TLS protocol
+                return tls_transport, tls_transport.get_protocol()
             finally:
                 proxy_resp.close()