pg_dump: get rid of die_horribly

The old code was using exit_horribly or die_horribly other depending on
whether it had an ArchiveHandle on which to close the connection or not;
but there were places that were passing a NULL ArchiveHandle to
die_horribly, and other places that used exit_horribly while having an
AH available.  So there wasn't all that much consistency.

Improve the situation by keeping only one of the routines, and instead
of having to pass the AH down from the caller, arrange for it to be
present for an on_exit_nicely callback to operate on.

Author: Joachim Wieland
Some tweaks by me

Per a suggestion from Robert Haas, in the ongoing "parallel pg_dump"
saga.