[CI] Add pytest-azurepipelines in ​pandas-dev
- closes #26601 

Is it better to put `pip install pytest-azurepipelines` inside `setup_env.sh`?
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=h1) Report
> Merging [#26620](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/437efa6e974e506c7cc5f142d5186bf6a7f5ce13?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/26620/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #26620      +/-   ##
==========================================
- Coverage   91.85%   91.85%   -0.01%     
==========================================
  Files         174      174              
  Lines       50722    50722              
==========================================
- Hits        46593    46589       -4     
- Misses       4129     4133       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.39% <ø> (ø)` | :arrow_up: |
| #single | `41.78% <ø> (-0.09%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/26620/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `78.94% <0%> (-10.53%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/26620/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97% <0%> (-0.12%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=footer). Last update [437efa6...61a5f9d](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=h1) Report
> Merging [#26620](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/c7748ca057cad4a80a6c4cbf8b49c5d9f3e7ea1c?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/26620/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #26620      +/-   ##
==========================================
- Coverage    91.7%   91.69%   -0.01%     
==========================================
  Files         179      179              
  Lines       50767    50767              
==========================================
- Hits        46555    46551       -4     
- Misses       4212     4216       +4
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.29% <ø> (ø)` | :arrow_up: |
| #single | `41.2% <ø> (-0.09%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/26620/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `78.94% <0%> (-10.53%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/26620/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `96.88% <0%> (-0.12%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=footer). Last update [c7748ca...3bf5b9b](https://codecov.io/gh/pandas-dev/pandas/pull/26620?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 you can try adding this to setup_env.sh.

I think this doesn't work this way because the commandas are executed in different shells (so another option is to do it in the same context

```
activate pandas-dev && pip instal .....
``` @jreback Do you have anything else to implement? @TomAugspurger Implemented. Anything else? The pytest-azurepiplines docs state that it

> Overloads the –junit-xml flag on execution with a default value

Will this break our coverage output for codecov? I guess no break is done. Codecov report was also generated in this PR. Is it sufficient? Would you tell me any other way to prove?
 thanks @makbigc 


cc @pandas-dev/pandas-core  we now have a warnings tab in summary: https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=13516&view=results