CI: Move Windows build from Azure to GHA
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature

Took parts from https://github.com/pandas-dev/pandas/pull/46611

@meeseeksdev backport 1.4.x thanks @mroeschke 