BUG: Disable parallel cythonize on Windows (GH 30214)
- [x ] closes #30356
- [ ] tests added / passed
  - N/A
- [ ] passes `black pandas`
  - Didn't run - changes too many files
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Added test in `setup.py` to check if nthreads is positive and on Windows.
