ICU-22825 Fix memLeak during error in tznames_impl.cpp #2481

Job	Run time
clang-valgrind-test	9m 44s
clang-valgrind-intltest (utility)	6m 35s
clang-valgrind-intltest (normalize)	5m 56s
clang-valgrind-intltest (collator)	5m 23s
clang-valgrind-intltest (regex)	5m 21s
clang-valgrind-intltest (format)	16m 28s
clang-valgrind-intltest (translit)	5m 45s
clang-valgrind-intltest (rbbi)	7m 33s
clang-valgrind-intltest (rbnf)	5m 56s
clang-valgrind-intltest (rbnfrt)	6m 15s
clang-valgrind-intltest (icuserv)	5m 19s
clang-valgrind-intltest (idna)	5m 19s
clang-valgrind-intltest (convert)	6m 31s
clang-valgrind-intltest (rbnfp)	4m 53s
clang-valgrind-intltest (csdet)	5m 7s
clang-valgrind-intltest (spoof)	5m 11s
clang-valgrind-intltest (bidi)	5m 7s
	1h 52m 23s

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