TST: convert yield based test_pickle.py to parametrized to remove warnings

xref pandas-dev#15341

Author: Jeff Reback <[email protected]>

Closes pandas-dev#15416 from jreback/warn and squashes the following commits:

a6af576 [Jeff Reback] TST: convert yield based test_pickle.py to parametrized to remove warnings xref pandas-dev#15341

Author: jreback