[v3-2-test] Prevent Session from staying opened between yields (#65179)

[pierrejeambrun]

(cherry picked from commit 9813bf5)

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Was generative AI tooling used to co-author this PR?

• Yes (please specify the tool below)

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• Read the Pull Request Guidelines for more information. Note: commit author/co-author name and email in commits become permanently public when merged.
• For fundamental code changes, an Airflow Improvement Proposal (AIP) is needed.
• When adding dependency, check compliance with the ASF 3rd Party License Policy.
• For significant user-facing changes create newsfragment: {pr_number}.significant.rst, in airflow-core/newsfragments. You can add this file in a follow-up commit after the PR is created so you know the PR number.

[pierrejeambrun]

Unrelated CI failure merging