[ci] prevent Python tests from leaving behind files #9023

Job	Run time
r-package (ubuntu-latest, gcc, R 3.6, cmake)	8m 22s
r-package (ubuntu-latest, gcc, R 4.3, cmake)	9m 43s
r-package (ubuntu-latest, clang, R 4.3, cmake)	9m 42s
r-package (macos-13, gcc, R 4.3, cmake)	10m 42s
r-package (macos-13, clang, R 4.3, cmake)	13m 36s
r-package (windows-latest, MINGW, R 3.6, cmake)	12m 31s
r-package (windows-latest, MINGW, R 4.3, cmake)	16m 21s
r-package (windows-2019, MSVC, R 3.6, cmake)	24m 44s
r-package (windows-2022, MSVC, R 4.3, cmake)	27m 9s
r-sanitizers (ubuntu-latest, R-devel, gcc ASAN/UBSAN)	15m 16s
r-package (windows-latest, MINGW, R 3.6, cran)	13m 30s
r-package (clang17, R-devel)	11m 48s
r-sanitizers (ubuntu-latest, R-devel, clang ASAN/UBSAN)	29m 7s
r-package (clang18, R-devel)	11m 20s
r-package (windows-latest, MINGW, R 4.3, cran)	16m 21s
r-package (clang19, R-devel)	12m 0s
r-package (ubuntu-latest, gcc, R 4.3, cran)	11m 3s
r-package (gcc14, R-devel)	10m 50s
r-package (macos-13, clang, R 4.3, cran)	10m 59s
r-package (intel, R-devel)	10m 49s
r-package (macos-14, clang, R 4.3, cran)	6m 32s
all-r-package-jobs-successful	1s
	4h 52m 26s

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