Backport PR #42451: CI: Sync all 3.9 builds (part)
Backport PR #42451

xref https://github.com/pandas-dev/pandas/pull/42451#issuecomment-878918384

> I think for the backport, will only backport changes in ci/deps/actions-39.yaml and leave ci/deps/actions-39-slow.yaml which maps to ci/deps/actions-37-slow.yaml unchanged.