diff --git a/ci/azure/windows.yml b/ci/azure/windows.yml
index 03529bd6569c6..187a5db99802f 100644
--- a/ci/azure/windows.yml
+++ b/ci/azure/windows.yml
@@ -34,7 +34,7 @@ jobs:
     - bash: |
         source activate pandas-dev
         conda list
-        python setup.py build_ext -q -i
+        python setup.py build_ext -q -i -j 4
         python -m pip install --no-build-isolation -e .
       displayName: 'Build'
 
diff --git a/doc/source/whatsnew/v1.0.0.rst b/doc/source/whatsnew/v1.0.0.rst
index e8663853b7684..acf798ccfce99 100755
--- a/doc/source/whatsnew/v1.0.0.rst
+++ b/doc/source/whatsnew/v1.0.0.rst
@@ -980,7 +980,8 @@ Other
 - Fixed :class:`IntegerArray` returning ``inf`` rather than ``NaN`` for operations dividing by 0 (:issue:`27398`)
 - Fixed ``pow`` operations for :class:`IntegerArray` when the other value is ``0`` or ``1`` (:issue:`29997`)
 - Bug in :meth:`Series.count` raises if use_inf_as_na is enabled (:issue:`29478`)
-- Bug in :class:`Index` where a non-hashable name could be set without raising ``TypeError`` (:issue:29069`)
+- Bug in :class:`Index` where a non-hashable name could be set without raising ``TypeError`` (:issue:`29069`)
+
 
 .. _whatsnew_1000.contributors:
 
diff --git a/setup.py b/setup.py
index af70ee3b30095..489a9602511e8 100755
--- a/setup.py
+++ b/setup.py
@@ -526,6 +526,11 @@ def maybe_cythonize(extensions, *args, **kwargs):
     elif parsed.j:
         nthreads = parsed.j
 
+    # GH#30356 Cythonize doesn't support parallel on Windows
+    if is_platform_windows() and nthreads > 0:
+        print("Parallel build for cythonize ignored on Windows")
+        nthreads = 0
+
     kwargs["nthreads"] = nthreads
     build_ext.render_templates(_pxifiles)
     return cythonize(extensions, *args, **kwargs)