CI: troubleshoot py310 build
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

Hey @jbrockmendel Just giving the heads up that the Python 3.10 dev build was actually "fake" green and can be green even if failing. (was actually failing even when it was "green"). I'm trying to address that in #41595, so I guess you can ignore failures listed on the issue #41940 in this PR.

Also, FYI the Python dev build on tests on a single core, so you might find it helpful to change add an ``-n auto`` to the Pytest command. If you want to have CI fail on a failure, you can just remove ``continue-on-error`` flag. Thanks @lithomas1.  IIUC what we really want is allow-failure which GH actions doesn't support (https://github.com/actions/runner/issues/2347).  For now I'll be happy if non-breaking PRs get a little green checkmark. @jbrockmendel there's some mypy failures > Also, FYI the Python dev build on tests on a single core, so you might find it helpful to change add an `-n auto` to the Pytest command.

The last time I tried, only single core works. We probably should try pytest-xdist master now.
 Remaining failures look unrelated tell you what. i like green, so if you can do a followup for the name cleaning (which we can backport to 1.3) @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.