Don't pass a dir to our TemporaryDirectory

Summary:
In response to:
https://buildkite.com/dagster/dagster-diffs/builds/17412#22a8ea10-289e-4a55-8d47-d58efcf92b8e

The step succeeded when retried. I was unable to reproduce the same
failure locally, but I'm incidentally able to produce a different
failure:

FileNotFoundError: [Errno 2] No such file or directory: 'user_in_loop/tmpzayi1d_n'

In short, I'm unable to specify a dir that doesn't yet exist. Creating
the TemporaryDirectory works just fine if I pass an existing directory.

Effectively, I'm running into:

>>> import os
>>> os.mkdir("foo/bar")
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
FileNotFoundError: [Errno 2] No such file or directory: 'foo/bar'
>>> os.mkdir("foo")
>>> os.mkdir("foo/bar")

This is because mktmp doesn't set parents=True when it calls mkdir:

https://github.com/python/cpython/blob/0ad81d4db2f409d72f469d0b74ab597be772a68e/Lib/tempfile.py#L364

So on a FileNotFoundError, it raises instead of recursively building
the parents:

https://github.com/python/cpython/blob/0ad81d4db2f409d72f469d0b74ab597be772a68e/Lib/pathlib.py#L1227-L1229

We don't run into this when running via tox because tox is changing our
working directory to /workdir/examples/user_in_loop so the parent
already exists.

This is the only place in our codebase where we're explicitly specifying
a dir when creating a TemporaryDirectory and it doesn't seem to be
providing any actual value to the test so I'm going to remove the dir
argument. That way, we can invoke this test locally without running it
through tox.

Test Plan: bk

Reviewers: dgibson, johann

Reviewed By: dgibson

Differential Revision: https://dagster.phacility.com/D7482