Remove pyopenssl dep and with ssl module instead

[giampaolo]

We originally used pyopenssl instead of stdlib ssl because ssl module lacked server support on Python 2.X (or something like that, I forgot). This seems to be the case though, as urllib3 did the same:
https://urllib3.readthedocs.io/en/2.2.0/reference/contrib/pyopenssl.html
Removing pyopenssl would be good because it would be 1 less third-party dep we depend on.
This probably have to happen after we remove Python 2.7 support though (#629).