Raise an Err when CRYPTO_THREAD_lock_new fails

Raise an Err when CRYPTO_THREAD_lock_new fails

Add missing error raise call, as it is done everywhere else.
and as CRYPTO_THREAD_lock_new don't do it internally.

Reviewed-by: Richard Levitte <levitte@openssl.org>
Reviewed-by: Matt Caswell <matt@openssl.org>