ENH: return more information on ConnectionError

I see more and more ConnectionError type tracebacks (I think it's just a side effect of we started testing more of the materials). One thing that comes to mind is that the traceback is never useful, and I wonder if/how we could make it more informative to users.

E.g. consider this tap query: https://github.com/Caltech-IPAC/irsa-tutorials/actions/runs/10806201868/job/30005528549#step:5:418

As a maintainer, I see that this is a temporary server side issue, but as a user I would value an easy way to see the actual query that was being sent up to the server (and even better, a copy pasteable URL that I could try in the browser; though I suspect that would be not exactly practical as we send our queries via `requests` rather than building up the query in a URL manually)

I remember various flavours of this same problem came up over the years, but couldn't dig up a currently open issue for it. Feel free to xref/or even close, if you find it otherwise.

Start with the linked tap query and its GitHub Actions traceback, then trace how the Python client turns the server-side failure into ConnectionError. Identify where the request context is available and review the issue's proposed query or copy-pasteable URL information; done means users can diagnose the failed request from the reported error without exposing inappropriate details.

Written by the indexing model from the issue text.