WIP Fixing MINGW CI failures

[rwgk]

Description

@henryiii Do we finally need to update MSYS2? (question originally asked by @Skylion007)

• Last successful: [Sat, 22 Jan 2022 07:34:24 GMT] https://github.com/pybind/pybind11/actions/runs/1732355974
• First failing: [Mon, 24 Jan 2022 21:24:12 GMT] https://github.com/pybind/pybind11/actions/runs/1742241885

Suggested changelog entry:

[rwgk]

@jeromerobert @lkeegan I found you in the git log, in connection with MINGW and msys2. Do you happen to have suggestions? (I have next-to-no relevant background myself.)

[lkeegan]

@rwgk it looks like a similar issue to #2369 - not sure exactly what the underlying cause is, but the same workaround of explicitly setting PYTHONHOME and PYTHONPATH seems to work - here is a PR: #3651