An out-of-memory failure happening when allocating the structures to
store the connection parameter keywords and values would mess up with
the set of connections saved, as on failure the pthread mutex would
still be hold with the new connection object listed but free()'d.

Rather than just unlocking the mutex, which would leave the static list
of connections into an inconsistent state, move the allocation for the
structures of the connection parameters before beginning the test
manipulation.  This ensures that the list of connections and the
connection mutex remain consistent all the time in this code path.

This error is unlikely going to happen, but this could mess up badly
with ECPG clients in surprising ways, so backpatch all the way down.

Reported-by: ryancaicse
Discussion: https://postgr.es/m/17186-b4cfd8f0eb4d1dee@postgresql.org
Backpatch-through: 9.6