CI: Debug Windows stack overflow
```
Thread 0x0000142c (most recent call first):
  File "C:\Miniconda\en.vs\pandas-dev\lib\site-packages\execnet\gateway_base.py", line 400 in read
  File "C:\Miniconda\envs\pandas-dev\lib\site-packages\execnet\gateway_base.py", line 432 in from_io
  File "C:\Miniconda\envs\pandas-dev\lib\site-packages\execnet\gateway_base.py", line 967 in _thread_receiver
  File "C:\Miniconda\envs\pandas-dev\lib\site-packages\execnet\gateway_base.py", line 220 in run
  File "C:\Miniconda\envs\pandas-dev\lib\site-packages\execnet\gateway_base.py", line 285 in _perform_spawn

Current thread 0x00000520 (most recent call first):
  File "D:\a\1\s\pandas\core\construction.py", line 850 in is_empty_data
  File "D:\a\1\s\pandas\core\construction.py", line 887 in create_series_with_explicit_dtype
  File "D:\a\1\s\pandas\core\series.py", line 515 in _init_dict
  File "D:\a\1\s\pandas\core\series.py", line 422 in __init__
  File "D:\a\1\s\pandas\core\construction.py", line 889 in create_series_with_explicit_dtype
  File "D:\a\1\s\pandas\core\series.py", line 515 in _init_dict
  File "D:\a\1\s\pandas\core\series.py", line 422 in __init__
  File "D:\a\1\s\pandas\core\construction.py", line 889 in create_series_with_explicit_dtype
  File "D:\a\1\s\pandas\core\series.py", line 515 in _init_dict
  File "D:\a\1\s\pandas\core\series.py", line 422 in __init__

```

@mroeschke LMK if extra eyeballs can be made helpful here @jbrockmendel thanks that would be helpful. Here's the logs of the crashing build (gw1 is crashing)

https://dev.azure.com/pandas-dev/e01c9671-576d-40f3-a1a1-7bef78604087/_apis/build/builds/75338/logs/45

From what I've deduced, something changed such that recursion in our test suite leads to stack overflows in Windows. Appears there might be another one somewhere in `pandas/tests/extension` but not exactly sure where @jbrockmendel look okay to you? not wild about the is_ci_environment part but dont have any better ideas.  LGTM Thanks @jbrockmendel yeah same. I have no idea why Windows is acting different suddenly but with is_ci_environment hopefully people can still check the test locally. @meeseeksdev backport 1.4.x