[BUG] fix race condition in tsfile tests

[hoesler]

Reference Issues/PRs

Split out of #4140

What does this implement/fix? Explain your changes.

This fixes a race condition in tests, if run in parallel. The "./Temp" dir might get deleted while another test is relying on its presence. This fix replaces the explicit creation of a temp dir with a fixture, unique to each test execution.

Does your contribution introduce a new dependency? If yes, which one?

What should a reviewer concentrate their feedback on?

Did you add any tests for the change?

Any other comments?

PR checklist

For all contributions

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• The PR title starts with either [ENH], [MNT], [DOC], or [BUG] indicating whether the PR topic is related to enhancement, maintenance, documentation, or bug.

For new estimators

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[fkiraly]

Good spot!

Would you mind quickly checking whether this is any of these reported sporadic bugs?
https://github.com/sktime/sktime/issues?q=is%3Aissue+is%3Aopen+sporadic