CI: add sdist test for PRs

[fangchenli]

In #38852, we talked about adding CI job to build and test sdist. So we could discover relevant errors sooner. xref #38852 (comment)

[jorisvandenbossche]

Given the recent problems we had with #41977, #41981 (originally from changes in #38852), it might be good to actually add this as a workflow in our CI.

@simonjayhawkins if I understand correctly, you have a workflow for this in your fork that you use for testing the release branch (or RC) regularly? If that's the case, it might not be a lot of work for you to move that to the main repo's CI?
(otherwise, #38852 also temporarily contained such a workflow: e3b0cd2, or that might actually be the same as yours)

[jorisvandenbossche]

Whoops, I only notice now that @fangchenli already opened a PR for it: #41685

[simonjayhawkins]

@simonjayhawkins if I understand correctly, you have a workflow for this in your fork that you use for testing the release branch (or RC) regularly?

yes it picked up the problems in #41977, but missed the setuptools issue (ignore that the conda-test has been failing for the last week) as setuptools was in the test container and also missed the wheel size issue.

[simonjayhawkins]

The wheels still built on pandas-wheels after #41977, an alternative to a ci workflow in pandas, is to build the wheels from the sdist on pandas-wheels instead of the github source, problems would be picked up on the nightly builds, or if a last minute change, before release.