Fix file descriptor handling in zdb_copy_object()

Coverity found a file descriptor leak. Eyeballing it showed that we had
no handling for the open() call failing either. We can address both of
these at once.

Reviewed-by: Brian Behlendorf <behlendorf1@llnl.gov>
Reviewed-by: Neal Gompa <ngompa@datto.com>
Signed-off-by: Richard Yao <richard.yao@alumni.stonybrook.edu>
Closes #13862