SNOW-1276398 Fix not thrown exception when OpenAsync http request fails

[sfc-gh-jmartinezramirez]

Description

Fix not thrown exception when OpenAsync http request fails

Checklist

• Code compiles correctly
• Code is formatted according to Coding Conventions
• Created tests which fail without the change (if possible)
• All tests passing (dotnet test)
• Extended the README / documentation, if necessary
• Provide JIRA issue id (if possible) or GitHub issue id in PR name

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 85.60%. Comparing base (982a1e4) to head (e59c40e).

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #999      +/-   ##
==========================================
- Coverage   85.63%   85.60%   -0.03%     
==========================================
  Files         106      106              
  Lines       10777    10777              
  Branches     1032     1032              
==========================================
- Hits         9229     9226       -3     
- Misses       1299     1304       +5     
+ Partials      249      247       -2     

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due to absence