BUG: Disable parallel cythonize on Windows (GH 30214)
- [x ] closes #30356
- [ ] tests added / passed
  - N/A
- [ ] passes `black pandas`
  - Didn't run - changes too many files
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Added test in `setup.py` to check if nthreads is positive and on Windows.

> Can you also enable this for Windows CI? Would be curious to see how much time it saves there

@WillAyd If I "enable" it for Windows CI, then all compiles would run sequentially.  So that wouldn't save time (assuming the parallel stuff is working now). What am I missing here? I meant should add the “-j N” flag to the build command for Windows in the CI folder. We currently don’t pass anything so Cythonization and compilation are sequential

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> On Dec 31, 2019, at 4:04 PM, Irv Lustig <notifications@github.com> wrote:
> 
> ﻿
> Can you also enable this for Windows CI? Would be curious to see how much time it saves there
> 
> @WillAyd If I "enable" it for Windows CI, then all compiles would run sequentially. So that wouldn't save time (assuming the parallel stuff is working now). What am I missing here?
> 
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 > I meant should add the “-j N” flag to the build command for Windows in the CI folder. We currently don’t pass anything so Cythonization and compilation are sequential

OK, I put that in the last commit thanks @Dr-Irv 