sdist test fix

Author: WillAyd

.github/workflows/sdist.yml

@@ -43,11 +43,16 @@ jobs:
 
     - name: Install dependencies
       run: |
-        python -m pip install --upgrade pip setuptools wheel
+        python -m pip install --upgrade pip cmake setuptools wheel
 
         # GH 39416
         pip install numpy
 
+    - name: Build pandas
+      run: |
+        cmake .
+        cmake --build . --parallel
+
     - name: Build pandas sdist
       run: |
         pip list