Python - Using FancyURLopener, ssl exception - vio

Question

Please refer to the following code:

from six.moves.urllib.request import FancyURLopener

class ParanoidURLopener(FancyURLopener):
     def http_error_default(self, url, fp, errcode, errmsg, headers):
         raise Exception('URL fetch failure on {}: {} -- {}'.format(url, errcode, errmsg))

ParanoidURLopener().retrieve("https://s3.amazonaws.com/img-datasets/mnist.pkl.gz", "a.pkl.gz")

I get the

ssl.SSLEOFError: EOF occurred in violation of protocol (_ssl.c:645)

I searched around, and found this question on SO, but it is very old bug and seems fixed (code in that question works for me).

PS_1: code is taken from Keras source code PS_2: this is more to the point version of this question

EDIT_1

These errors happen with this file only.

If I open a pdf file, it works perfectly.

>>> ParanoidURLopener().retrieve("http://anh.cs.luc.edu/python/hands-on/3.1/Hands-onPythonTutorial.pdf", "a.pdf")
('a.pdf', <http.client.HTTPMessage object at 0x7f623da36128>)

and with this as well it works

>>> ParanoidURLopener().retrieve("http://yann.lecun.com/exdb/mnist/t10k-labels-idx1-ubyte.gz", "a.gz")
('a.gz', <http.client.HTTPMessage object at 0x7f623da36860>)