Oh sorry, I basically never need to install pywikibot anew so it's easy to forget but there is a submodule in scripts/i18n which needs to be cloned as well. With the following commands I could reproduce the error (and you don't even need to install requests and six):

  $ git clone --recursive  git@github.com:wikimedia/pywikibot-core.git test
  $ cd test/
  $ echo "mylang='en'" >> user-config.py
  $ echo "family='wikipedia'" >> user-config.py
  $ python setup.py test

With that you only need a network connection (as this error is in urllib3 I doubt it works without network connection) but you don't need any wiki account. If you want to test it with an account, execute “generate_user_files.py” before. Just as a note I've activated write and write failure tests but without an account these tests should not be run anyway.