[Task]: Test cythonized package on Windows and macOS

[Abacn]

What needs to happen?

The released python wheels are cythonized and compiled. However, currently we only tests cython on linux platform (precommit on jenkins). Windows and macOS tests should be added probably with Github Action.

Issue Priority

Priority: 2

Issue Component

Component: build-system

[TheNeuralBit]

I think it would be pretty straightforward to add a cython build to the GHA workflows that run python unit tests: https://github.com/apache/beam/blob/master/.github/workflows/python_tests.yml