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TLS access on Windows sets the last error, even in case of success. This
is causing issues with calling code which expects malloc() to not change
the last error. Work around it by saving the last error.

Issue found by tasak@.

Bug: 998048
Change-Id: I64fa7dc44abfae39d3d91d9d8e6dbb9e2721d136
Reviewed-on: https://chromium-review.googlesource.com/c/chromium/src/+/2529150
Commit-Queue: Benoit L <lizeb@chromium.org>
Reviewed-by: Yuki Shiino <yukishiino@chromium.org>
Reviewed-by: Kentaro Hara <haraken@chromium.org>
Cr-Commit-Position: refs/heads/master@{#826779}