CI: Move CircleCI job to Azure pipelines
We've been moving our CI from other systems to Travis and Azure Pipelines, which makes things simpler, as we don't need to maintain several CI configuration files, and check for CI errors and logs in different environments.

We have almost everything in those two systems now, except one last job that is in CircleCI. This job requires PostgreSQL and MySQL databases, which hasn't been configured yet in Azure Pipelines. So, some research on how to set up them will be required.

In this issue we should create a new job in Azure Pipelines `ci/azure/linux.yml` equivalent to the one in CircleCI, and remove all CircleCI files `.circleci`.

CC: @TomAugspurger 