Since you can write your own "context managers," the with statement analogue from Lisp world would rather be unwind-protect.
Yes, basically the only difference is that Python's with operates over a context management protocol involving some `__magic__` methods so it can work with other things in addition to files.
You can also do that in common-lisp by using the special form `with-open-file` is built upon: unwind-protect[0]. `with-open-file` is just a macro over it, specialized for files handling.