Add error flow tests

[gtopper]

The new tests function as regression tests for #100. Without that change, some tests fails on

UnboundLocalError: local variable 'response_body' referenced before assignment

and others on

        for conn in mock_transport.mock_connections:
>           assert conn.times_closed == 0 or conn.times_closed == 1
E           assert (2 == 0
E             +2
E             -0 or 2 == 1
E             +2
E             -1)

(double closing of connections)