DisableKeepAlives in transport causes failure

[jefferai]

This appears at first blush to be similar-ish to #67

If you are setting a custom http.Client (e.g. using https://github.com/hashicorp/go-cleanhttp), if the transport used in the client has keepalives disabled (that is, DisableKeepAlives = true), the connection will fail with

failed to websocket dial: websocket protocol violation: Connection header "" does not contain Upgrade

This might be worth mentioning/detecting.

[nhooyr]

This is a bug in net/http. With DisableKeepAlives enabled, net/http writes a Connection: close header even if we already wrote a Connection: Upgrade header. Thanks for the report, I'll file a bug there.

[nhooyr]

Nvm sorry the problem is that net/http doesn't allow writing a Connection header if the request contains Connection: close.

[nhooyr]

golang/go#36381