ci: [refactor] Move pyzmq install and get_previous_releases into ci-windows-cross.py

.github/ci-windows-cross.py

@@ -4,6 +4,7 @@
 # file COPYING or https://opensource.org/license/mit/.
 
 import argparse
+import os
 import shlex
 import subprocess
 import sys
@@ -70,6 +71,15 @@ def prepare_tests():
     content = "\n".join(lines) + "\n"
     config_path.write_text(content)
     print(content)
+    previous_releases_dir = Path(os.environ["PREVIOUS_RELEASES_DIR"])
+    cmd_download_prev_rel = [
+        sys.executable,
+        str(workspace / "test" / "get_previous_releases.py"),
+        "--target-dir",
+        str(previous_releases_dir),
+    ]
+    run(cmd_download_prev_rel)
+    run([sys.executable, "-m", "pip", "install", "pyzmq"])
 
 
 def main():