Remove dependencies

[ejizba]

We currently have 3 dependencies - undici, long, and cookie. Removing these would help eliminate concerns about npm audit alerts (e.g. #301) and improve cold start (tracked internally by this work item).

Unfortunately, I believe this would be a breaking change so we shouldn't do it until we're ready to do v5 of our npm package. Granted, I think this issue by itself could be reason enough to do a v5.

I already have some changes prepared and did some testing. I have a branch to remove each individual package (see the sub-issues), but here's a branch that removes all 3: ej/removeDependencies