I experienced this issue with SQLite on Windows. The application I am testing contains code that I run in the setup phase (_before) that initialises the database and clears temporary directories. It deletes any existing database file as part of this process. It runs fine on Mac OS X where the SQLite database file can be deleted despite still being connected. However, on Windows, it fails for the first test only. This is because, despite reconnect being used, _initialize leaves the database connected. Every other test after the first succeeds, because _after disconnects the database.
I have prepared a pull request which addresses this. I hope it will be considered satisfactory for inclusion.
The pull request is #3904.
[Db] Disconnect after initializing when using reconnect, fixes #3903