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Windows CI builds failing

See original GitHub issue

Our Windows CI builds are failing (e.g. this build) with the following error:

py.test dask --runslow --cov=dask --cov-report=xml -n4 
ImportError while loading conftest 'D:\a\dask\dask\conftest.py'.
conftest.py:28: in <module>
    import pandas  # noqa: F401
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\__init__.py:51: in <module>
    from pandas.core.api import (
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\core\api.py:31: in <module>
    from pandas.core.groupby import Grouper, NamedAgg
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\core\groupby\__init__.py:1: in <module>
    from pandas.core.groupby.generic import DataFrameGroupBy, NamedAgg, SeriesGroupBy
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\core\groupby\generic.py:65: in <module>
    from pandas.core.frame import DataFrame
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\core\frame.py:119: in <module>
    from pandas.core import algorithms, common as com, generic, nanops, ops
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\core\generic.py:113: in <module>
    from pandas.io.formats import format as fmt
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\io\formats\format.py:77: in <module>
    from pandas.io.common import stringify_path
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\io\common.py:35: in <module>
    lzma = import_lzma()
C:\Miniconda3\envs\test-environment\lib\site-packages\pandas\compat\__init__.py:109: in import_lzma
    warnings.warn(msg)
E   UserWarning: Could not import the lzma module. Your installed Python is incomplete. Attempting to use lzma compression will result in a RuntimeError.

Looks like a packaging issue where we’re not able to import lzma.

cc @charlesbluca @jakirkham in case you have any ideas

xref https://github.com/dask/dask/pull/9733