CI: Add single_cpu build
- [x] Closes #45705
- [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
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).


As well as marking all pyarrow csv engine tests as `pytest.mark.single_cpu` since they use threads

@meeseeksdev backport 1.4.x Something went wrong ... Please have a look at my logs.