Quoting myself from #1604 (comment):

The Python 3.7 Windows failure is reproducible. I compared the last good 3.7 build with the first bad 3.7 build, and noticed that Python was updated from 3.7.3 to 3.7.4, and OpenSSL from 1.1.0j to 1.1.1c as part of https://bugs.python.org/issue34631.

Here's my understanding of the failures:

• TestConnectionPool.test_source_address_error appears to fail because InvalidUrl is now being raised in the standard library and I guess we no longer catch the correct exception? But why only on Windows?
• TestHTTPS.test_client_no_intermediate and TestHTTPS_TLSv1_3.test_client_no_intermediate seem to fail because the OpenSSL exception is being converted into a SocketError in https://github.com/urllib3/urllib3/blob/master/src/urllib3/contrib/pyopenssl.py#L345-L346, maybe because the execution path changed?
• TestHTTPS_TLSv1_3.test_set_ssl_version_to_tls_version fails because there are no certs defined in TestHTTPS_TLSv1_3, so self.certs["ssl_version"] can't work