Exceptions don't match CPython `requests` that closely

[dhalbert]

The CPython requests library has its own set of exceptions: https://requests.readthedocs.io/en/latest/api/#requests.ConnectTimeout
which are subclasses of system exceptions. Here is the source, showing the class definitions:
https://requests.readthedocs.io/en/latest/_modules/requests/exceptions/

I think using some subset of the requests exceptions might be nice for writing compatible code and one with clearer exceptions.