[CI][Python] Migrate appveyor job to GitHub actions

[raulcd]

Describe the enhancement requested

There is currently a single CI job on appveyor. This is the only job on Windows for Python and it usually fails due to CI issues rather than Python real issues.
I think we can migrate it to GitHub actions to remove the appveyor dependency.

Component(s)

Continuous Integration, Python

[raulcd]

@kou @pitrou do you know if there is a reason we are still using Appveyor or could we migrate to GitHub actions to get rid of Appveyor completely.

[pitrou]

No particular reason except that someone needs to do it.