CI: remove the current coverage build, run coverage on multiple builds instead

[fangchenli]

Currently, we upload one coverage report from actions-37-cov. It takes the longest. But Codecov automatically merges multiple reports. See details https://docs.codecov.io/docs/merging-reports. So we could run coverage on multiple shorter builds.

We need to select a set of builds (create new ones if needed), add -cov to the name of their environment files (suggested by @jreback ), update their CI configs to upload reports to Codecov, and remove the actions-37-cov build if it's no longer required.

[MarcoGorelli]

Reopening as #40394 didn't remove actions-37-cov, but i think i that can be done now if there's no issues