Description of the problem

To reproduce the bug, run:

mkdir tmp-test-dir-with-unique-name
cd tmp-test-dir-with-unique-name
pytest ../pygmt/tests/test_session_management.py

then you'll see a "gmt.conf" file in the tmp-test-dir-with-unique-name directory.

The "gmt.conf" file is generated by the test "test_gmt_compat_6_is_applied":

At the end of the test, Lines 46-49 revert the GMT_COMPATIBILTY to 6. However, these codes only affect the gmt.conf in the session directory. The "gmt.conf" in the current directory is still untouched, with GMT_COMPATIBILITY set to 5.

We should remove the "gmt.conf" from the current directory at the end of the test.