[Python] Can I use pymysql.connect() with "with" statement?

The following is listed as example in pymysql:

conn = pymysql.connect(...)
with conn.cursor() as cursor:
cursor.execute(...)
...
conn.close()


Can I use the following instead, or will this leave a lingering connection? (it executes successfully)

import pymysql
with pymysql.connect(...) as cursor:
cursor.execute('show tables')


(python 3, latest pymysql)

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