Don't set an exception witout GIL closing lobjects with a bad conn

We ended up in this branch only for an excessively aggressive closing
of the transaction that now I'm going to fix.

psycopg/lobject_int.c

@@ -253,7 +253,7 @@ lobject_close_locked(lobjectObject *self, char **error)
         return 0;
         break;
     default:
-        PyErr_SetString(OperationalError, "the connection is broken");
+        *error = strdup("the connection is broken");
         return -1;
         break;
     }