url: use goto in create_conn() for exception handling

Instead of remembering before each "return" statement which temporary
allocations, if any, need to be freed, take care to set pointers to
NULL when no longer needed and use a goto to a common block to exit
the function and free all temporaries.

No functional change intended.  Currently the only temporary buffer in
this function is "proxy" which is already correctly freed when
appropriate, but there will be more soon.