CI: have database builds *just* run db tests

[jreback]

The database builds: https://github.com/pandas-dev/pandas/pull/39457/checks?check_run_id=1797892949

take the longest. we should just have this run the database tests only. (so add a marker for the appropriate tests / just run the sql tests entirely).

[jreback]

cc @fangchenli

[fangchenli]

cc @fangchenli

What shall we do for the cov build? If only run db test, we don't have the coverage anymore.