[2.7] bpo-28958: Improve SSLContext error reporting. (GH-3414) (#3433)

Signed-off-by: Christian Heimes <christian@python.org>
(cherry picked from commit 17c9ac9)
diff --git a/Modules/_ssl.c b/Modules/_ssl.c
index 761554a..5b4cec2 100644
--- a/Modules/_ssl.c
+++ b/Modules/_ssl.c
@@ -2146,8 +2146,7 @@
         return NULL;
     }
     if (ctx == NULL) {
-        PyErr_SetString(PySSLErrorObject,
-                        "failed to allocate SSL context");
+        _setSSLError(NULL, 0, __FILE__, __LINE__);
         return NULL;
     }