WIP: Enable GMT_USE_THREADS on Windows CI

[seisman]

• Enable GMT_USE_THREADS on Windows CI
• Enable cache in PR

Description of proposed changes

Fixes #

Reminders

• Make sure that your code follows our style. Use the other functions/files as a basis.
• Add tests for new features or tests that would have caught the bug that you're fixing.
• Describe changes to function behavior and arguments in a comment below the function declaration.
• If adding new functionality, add a detailed description to the documentation and/or an example.

[codecov-commenter]

Codecov Report

Merging #5560 (9f136be) into master (09ac529) will not change coverage.
The diff coverage is n/a.

❗ Current head 9f136be differs from pull request most recent head b15401b. Consider uploading reports for the commit b15401b to get more accurate results

@@           Coverage Diff           @@
##           master    #5560   +/-   ##
=======================================
  Coverage   58.80%   58.80%           
=======================================
  Files         249      249           
  Lines      176980   176980           
=======================================
  Hits       104076   104076           
  Misses      72904    72904           

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