pytest.skip not working inside context manager?
#18709 implements tests that uses `tm.set_timezone` context manager.  `set_timezone` begins with:

```
    if is_platform_windows():
        import pytest
        pytest.skip("timezone setting not supported on windows")
``` 

But that apparently isn't raising as expected: https://ci.appveyor.com/project/pandas-dev/pandas/build/1.0.7947/job/2fadgp6te7e95ysc