bug#53762: Improve error message when during url retrieving network connection is lost

[emacsq]

Sometimes when fetching an URL with url-retireve emacs
returns the error "Process <URL> not running"

This is the case when emacs tries to do an operation
on the process and finds the process is not running anymore.

In case of fetching an url it is presumably because of
the network connection is unexpectedly lost, so for network
processes returning an error message like "Network connection
closed unexpectedly" or similar is more informative for the
user than saying "Process X not running".