WIP/CI/TST: Clean up of the tests script
Follow up of the conversation in #26932, and fixing some of the things that #24106 tried.

The main change is **call pytest once** instead of once for `single` and once for `multi`. This shouldn't be a problem since I add the parameter `--dist=loadfile` which should prevent tests in the same file running in parallel. I don't think running `serial` tests in parallel with tests in other files should be a problem.

Other things cleaned in the PR:
- Setting always the proxy (shouldn't hurt for not network tests, and makes things simpler)
- Using as many processes as cores, not 2
- Removed hack for when no tests were found (since we don't call only for `single` tests, there will always be tests to run)

So far testing, let's see how does this work in the CI.