[3.12] gh-107913: Fix possible losses of OSError error codes (GH-107930) #108523
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Functions like PyErr_SetFromErrno() and SetFromWindowsErr() should be
called immediately after using the C API which sets errno or the Windows
error code.
(cherry picked from commit 2b15536)
Co-authored-by: Serhiy Storchaka storchaka@gmail.com