scikit-learn: MemoryError in KNNImputer with california housing

I was doing a simple example with california housing and the KNNImputer blow up into my face:

import numpy as np
from sklearn.datasets import fetch_california_housing
from sklearn.model_selection import train_test_split
from sklearn.preprocessing import StandardScaler
from sklearn.impute import KNNImputer
from sklearn.linear_model import LinearRegression
from sklearn.pipeline import make_pipeline

calhousing = fetch_california_housing()

X = pd.DataFrame(calhousing.data, columns=calhousing.feature_names)
y = pd.Series(calhousing.target, name='house_value')

rng = np.random.RandomState(42)

density = 4  # one in 10 values will be NaN

mask = rng.randint(density, size=X.shape) == 0
X_na = X.copy()
X_na.values[mask] = np.nan
X_na.head()

X_train_na, X_test_na, y_train_na, y_test_na = train_test_split(
    X_na[y<4.9], y[y<4.9], test_size=1000, random_state=0)

model = make_pipeline(
    StandardScaler(),
    KNNImputer(add_indicator=True),
    LinearRegression()
)
model.fit(X_train_na, y_train_na).score(X_test_na, y_test_na)

---------------------------------------------------------------------------
MemoryError                               Traceback (most recent call last)
<ipython-input-71-ad8b65bc77f2> in <module>
      4     LinearRegression()
      5 )
----> 6 model.fit(X_train_na, y_train_na).score(X_test_na, y_test_na)

~/Documents/packages/scikit-learn/sklearn/pipeline.py in fit(self, X, y, **fit_params)
    346             This estimator
    347         """
--> 348         Xt, fit_params = self._fit(X, y, **fit_params)
    349         with _print_elapsed_time('Pipeline',
    350                                  self._log_message(len(self.steps) - 1)):

~/Documents/packages/scikit-learn/sklearn/pipeline.py in _fit(self, X, y, **fit_params)
    311                 message_clsname='Pipeline',
    312                 message=self._log_message(step_idx),
--> 313                 **fit_params_steps[name])
    314             # Replace the transformer of the step with the fitted
    315             # transformer. This is necessary when loading the transformer

~/miniconda3/envs/dev/lib/python3.7/site-packages/joblib/memory.py in __call__(self, *args, **kwargs)
    353 
    354     def __call__(self, *args, **kwargs):
--> 355         return self.func(*args, **kwargs)
    356 
    357     def call_and_shelve(self, *args, **kwargs):

~/Documents/packages/scikit-learn/sklearn/pipeline.py in _fit_transform_one(transformer, X, y, weight, message_clsname, message, **fit_params)
    724     with _print_elapsed_time(message_clsname, message):
    725         if hasattr(transformer, 'fit_transform'):
--> 726             res = transformer.fit_transform(X, y, **fit_params)
    727         else:
    728             res = transformer.fit(X, y, **fit_params).transform(X)

~/Documents/packages/scikit-learn/sklearn/base.py in fit_transform(self, X, y, **fit_params)
    566         else:
    567             # fit method of arity 2 (supervised transformation)
--> 568             return self.fit(X, y, **fit_params).transform(X)
    569 
    570 

~/Documents/packages/scikit-learn/sklearn/impute/_knn.py in transform(self, X)
    230                                   metric=self.metric,
    231                                   missing_values=self.missing_values,
--> 232                                   force_all_finite=force_all_finite)
    233 
    234         # Maps from indices from X to indices in dist matrix

~/Documents/packages/scikit-learn/sklearn/metrics/pairwise.py in pairwise_distances(X, Y, metric, n_jobs, force_all_finite, **kwds)
   1742         func = partial(distance.cdist, metric=metric, **kwds)
   1743 
-> 1744     return _parallel_pairwise(X, Y, func, n_jobs, **kwds)
   1745 
   1746 

~/Documents/packages/scikit-learn/sklearn/metrics/pairwise.py in _parallel_pairwise(X, Y, func, n_jobs, **kwds)
   1341 
   1342     if effective_n_jobs(n_jobs) == 1:
-> 1343         return func(X, Y, **kwds)
   1344 
   1345     # enforce a threading backend to prevent data communication overhead

~/Documents/packages/scikit-learn/sklearn/metrics/pairwise.py in nan_euclidean_distances(X, Y, squared, missing_values, copy)
    409     present_coords_cnt = np.dot(1 - missing_X, 1 - missing_Y.T)
    410     present_mask = (present_coords_cnt != 0)
--> 411     distances[present_mask] *= (X.shape[1] / present_coords_cnt[present_mask])
    412 
    413     if X is Y:

MemoryError: Unable to allocate array with shape (311408488,) and data type float64