CI: add py38 slow build #35160
- [x] closes #35160

This issue was created before we dropped py36 support. So I think we should add equivalent CI build for py38.


can u out this on azure instead? we have more parallelism there - and they are slightly less opaque than travis  > can u out this on azure instead? we have more parallelism there - and they are slightly less opaque than travis

I'll look at how to set up sql on azure. It's more straightforward to do this on Travis.  @fangchenli another alternative is to move one of the other travis builds to azure if that's easier.  can you rebase; also is the 3.7_locale duplicated in azure & travis? (or is it different)? > can you rebase; also is the 3.7_locale duplicated in azure & travis? (or is it different)?

The one on travis has sql related tests. Maybe we can combine those two. ok this lgtm. can you merge master to retrigger and ping on green. thanks @fangchenli 