Fix mypy test (#7478)

* Fix `mypy_test.py` so that it actually tests the third-party stubs
* Upgrade to mypy 0.940
* Skip running mypy on `SQLAlchemy` stubs for now, to workaround a mypy crash.

Because we didn't set mypy's clean_exit parameter, it was exiting immediately after checking the stdlib, meaning `mypy_test.py` wasn't checking the third-party stubs at all.

Co-authored-by: Alex Waygood <Alex.Waygood@Gmail.com>

requirements-tests.txt

@@ -1,4 +1,4 @@
-mypy==0.931
+mypy==0.940
 pytype==2022.2.23; platform_system != "Windows" and python_version < "3.10"
 # must match .pre-commit-config.yaml
 black==22.1.0