Bug: DB connection leak

[bpkroth]

mlos_bench/mlos_bench/tests/storage/exp_data_test.py::test_exp_data_root_env_config
  /opt/conda/envs/mlos/lib/python3.13/copy.py:220: ResourceWarning: unclosed database in <sqlite3.Connection object at 0x7fa5f38bfe20>
    memo[id(x)] = y
  Enable tracemalloc to get traceback where the object was allocated.
  See https://docs.pytest.org/en/stable/how-to/capture-warnings.html#resource-warnings for more info.