CI run coverage on multiple builds
- [x] closes #39758

Moving the posix builds to GitHubActions + uploading coverage on every build, as they're merged by default by Codecov

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Trying to get this in so that the codecov check in #40078 will pass
@jreback Would there be a capacity/credit issue if we run all Linux builds on GitHub Actions? no we can run on github actions

w/o restrictions  this looks pretty good. cc @jbrockmendel as i know you look at coverage lot. cc @datapythonista if any comments here. No objections.  The CI config is pretty mysterious to me. > Looks nice. Do we have enough builds in actions to not slow the CI results with this?

do you know where this info is? > > Looks nice. Do we have enough builds in actions to not slow the CI results with this?
> 
> do you know where this info is?

I couldn't find information online, not sure why. But checking the messages I sent to Azure and GitHub, Azure gives 10 parallel workers by default, but we had 30, and GitHub actions gives 20, and I asked them if they could increase it, but afaik that never happened.

I think we balanced things so both azure and actions had the same load, with the 30+20. If this is still the more or less the case, and we move lots of builds from azure to actions, feels like the 20 on actions will be a bottleneck, and we won't use much the 30 in azure.

But not sure if things changed since I had all these discussions. thanks @MarcoGorelli 

very nice!

@pandas-dev/pandas-core so this moves the linux builds to github actions, if anything looks awry pls open an issue