TST: Disable testing that hangs Azure CI
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them


Precursor to https://github.com/pandas-dev/pandas/pull/45478

This PR doesn't necessarily guarantee that we won't see random Azure timeouts, but based on working on #45478, these were tests that noticeably caused the CI to hang  


@mroeschke backport? > @mroeschke backport?

Sure might be helpful for the 1.4.x branch as well. @meeseeksdev backport 1.4.x Something went wrong ... Please have a look at my logs.