[CI] Fix Dask Pytest fixture (#6024)

tests/python-gpu/conftest.py

@@ -32,14 +32,12 @@ def local_cuda_cluster(request, pytestconfig):
             raise ImportError('The --use-rmm-pool option requires the RMM package')
         import rmm
         from dask_cuda.utils import get_n_gpus
-        rmm.reinitialize()
         kwargs['rmm_pool_size'] = '2GB'
     if tm.no_dask_cuda()['condition']:
         raise ImportError('The local_cuda_cluster fixture requires dask_cuda package')
     from dask_cuda import LocalCUDACluster
-    cluster = LocalCUDACluster(**kwargs)
-    yield cluster
-    cluster.close()
+    with LocalCUDACluster(**kwargs) as cluster:
+        yield cluster
 
 def pytest_addoption(parser):
     parser.addoption('--use-rmm-pool', action='store_true', default=False, help='Use RMM pool')