Hello,
I tested your program; the problem is the IRI of your ontology: the IRI must use the HTTP protocol.
Note that the ontology does not necessary need to be downloadable at this IRI: as long as a local copy is available, Owlready will not try to download it.
People usually use dummy IRI starting with
http://test.org/For example, your program works well using:
FILENAME = "
http://test.org/test.owl"
Kind regards,
Jiba