An existence check of 'keylogfile' is missed at https://github.com/python/cpython/blob/main/Lib/ssl.py#L779, if the file path does not exist, it tries to set 'context.keylog_filename' to an invalid file, and the result would be 'FileNotFoundError'. 
The following check fixed the issue:

if keylogfile and not sys.flags.ignore_environment and os.path.isfile(keylogfile):



```
Traceback (most recent call last):
  File "test_https.py", line 19, in <module>
    from test.conftest import ServerConfig
  File "C:\Check\urllib3-patch-1\src\test\conftest.py", line 12, in <module>
    from tornado import ioloop, web
  File "C:\Python38\lib\site-packages\tornado\web.py", line 87, in <module>
    from tornado.httpserver import HTTPServer
  File "C:\Python38\lib\site-packages\tornado\httpserver.py", line 32, in <module>
    from tornado.http1connection import HTTP1ServerConnection, HTTP1ConnectionParameters
  File "C:\Python38\lib\site-packages\tornado\http1connection.py", line 34, in <module>
    from tornado import iostream
  File "C:\Python38\lib\site-packages\tornado\iostream.py", line 40, in <module>
    from tornado.netutil import ssl_wrap_socket, _client_ssl_defaults, _server_ssl_defaults
  File "C:\Python38\lib\site-packages\tornado\netutil.py", line 34, in <module>
    _client_ssl_defaults = ssl.create_default_context(ssl.Purpose.SERVER_AUTH)
  File "C:\Python38\lib\ssl.py", line 755, in create_default_context
    context.keylog_filename = keylogfile
FileNotFoundError: [Errno 2] No such file or directory: 'D:\\invalid_path\\invalid_file.txt'
```

The code works as intended and design.

The keylog file is created in append-only mode when the file does not exist yet. A missing, inaccessible, or read-only directory or an invalid path raise an exception by design. Errors should not pass silently. The error informs the user of a misconfiguration.

Would accept a documentation update and a better error message for missing parent directory. Your proposed workaround is not acceptable. Python would no longer create a new keylog file and user would no longer get a hint that their configuration is wrong.