Fix a bug in creating proxy connection of TCPConnector.

[jamwonro]

This fix addresses the issue where an AttributeError is raised when a
proxy response is closed due to EOF.

What do these changes do?

Fix the issue #6239.

Are there changes in behavior for the user?

Add ClientProxyClosedError handler.

Related issue number

#6239

Checklist

• I think the code is well written
• Unit tests for the changes exist
• Documentation reflects the changes
• If you provide code modification, please add yourself to CONTRIBUTORS.txt
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[john-parton]

I believe this resolves my issue. Going to try updating my application to use this patch.

[john-parton]

Is there something specific I can do to help? I have a bunch of test cases, but I'm not sure the best way to add them to this patch.

[Dreamsorcerer]

Is there something specific I can do to help? I have a bunch of test cases, but I'm not sure the best way to add them to this patch.

Test cases would be great. I guess just create a PR to this branch, or a separate PR to aiohttp that includes the commits on this branch.

[john-parton]

I'm not sure how to write a test case that doesn't just exercise the entire request/response cycle with an actual endpoint.

I have a "test" here, but it relies on a 3rd party proxy server being up and having that specific configuration: #6239 (comment)

Not sure how to extract out the relevant bits and make it a simple unit test.

[john-parton]

I have some additional information here: #6239 (comment)

@asvetlov Would it be possible to review this?