[Python] Validate PYARROW_GENERATE_COVERAGE works as expected

[raulcd]

Describe the enhancement requested

Based on the following comment:

At some point we should check whether this flag still works. Eons ago it was used to generate codecov reports, but we ditched all the corresponding scripting that had to merge coverage files generated during the C++ test suite and the Python test suite.

Can you open an issue for that?

Originally posted by @pitrou in #49259 (comment)

We should validate whether the PYARROW_GENERATE_COVERAGE variable still works or we should just drop it.

Component(s)

Python