gdb/python: check return value of PyObject_New in all cases

gdb/python: check return value of PyObject_New in all cases

I spotted a few cases where the return value of PyObject_New was not
being checked against nullptr, but we were dereferencing the result.

All fixed here.  The fixed functions can now return NULL, so I checked
all the callers, and I believe there will handle a return of NULL
correctly.

Assuming calls to PyObject_New never fail, there should be no user
visible changes after this commit.

No tests here as I don't know how we'd go about causing a Python
object allocation to fail.

Approved-By: Simon Marchi <simon.marchi@efficios.com>