Refactor temporary file handling in test to use the ``tmp_path`` fixture instead.

[Pierre-Sassoulas]

Current behavior

The current tests are using finally, and a lot of code to handle temporary file. Contributor try to follow the coding style and new code could be simplified by using pytest.

Expected behavior

tmp_path is easier to understand and use a lot less code to do the same thing.

See #1161 (comment)