BLD: Upload sdist artifact from CI
Now it is possible to inspect the sdist that is built, to
see what was included and
for debugging.

Inspired by needing to see what was acutally included in the sdist at
https://github.com/pandas-dev/pandas/pull/46271

- [x] related to #46271 (Replace xxxx with the Github issue number)
- [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).
- [x] NA Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

@fangchenli again. Thank you!
After this PR, you can download the sdist build:

<img width="879" alt="image" src="https://user-images.githubusercontent.com/10820686/157340711-3fbdd96c-2c88-40dc-bdc2-710dee06ff34.png">
 The test failures above are unrelated Thanks @NickCrews 