1.2.1: cannot build documentation without installing module

### Describe the bug

Looks like something is wrong and I cannot build docuemtation without installing module.


### Steps/Code to Reproduce

N/A

### Expected Results

It should be possible to build documentation out of only what is in source tree a d withoit have installed module.

### Actual Results

<details>

```console
++ ls -1d lib.linux-x86_64-cpython-38
+ PYTHONPATH=/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/build/lib.linux-x86_64-cpython-38
+ PBR_VERSION=1.2.1
+ PDM_PEP517_SCM_VERSION=1.2.1
+ SETUPTOOLS_SCM_PRETEND_VERSION=1.2.1
+ /usr/bin/sphinx-build -n -T -b man doc build/sphinx/man
Running Sphinx v6.1.3

Traceback (most recent call last):
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 48, in <module>
    from ._check_build import check_build  # noqa
ModuleNotFoundError: No module named 'sklearn.__check_build._check_build'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/usr/lib/python3.8/site-packages/sphinx/config.py", line 351, in eval_config_file
    exec(code, namespace)  # NoQA: S102
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/doc/conf.py", line 20, in <module>
    from sklearn.externals._packaging.version import parse
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__init__.py", line 81, in <module>
    from . import __check_build  # noqa: F401
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 50, in <module>
    raise_build_error(e)
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 31, in raise_build_error
    raise ImportError(
ImportError: No module named 'sklearn.__check_build._check_build'
___________________________________________________________________________
Contents of /home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build:
__init__.py               _check_build.pyx          _check_build.c
__pycache__
___________________________________________________________________________
It seems that scikit-learn has not been built correctly.

If you have installed scikit-learn from source, please do not forget
to build the package before using it: run `python setup.py install` or
`make` in the source directory.

If you have used an installer, please check that it is suited for your
Python version, your operating system and your platform.

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "/usr/lib/python3.8/site-packages/sphinx/cmd/build.py", line 279, in build_main
    app = Sphinx(args.sourcedir, args.confdir, args.outputdir,
  File "/usr/lib/python3.8/site-packages/sphinx/application.py", line 202, in __init__
    self.config = Config.read(self.confdir, confoverrides or {}, self.tags)
  File "/usr/lib/python3.8/site-packages/sphinx/config.py", line 173, in read
    namespace = eval_config_file(filename, tags)
  File "/usr/lib/python3.8/site-packages/sphinx/config.py", line 364, in eval_config_file
    raise ConfigError(msg % traceback.format_exc()) from exc
sphinx.errors.ConfigError: There is a programmable error in your configuration file:

Traceback (most recent call last):
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 48, in <module>
    from ._check_build import check_build  # noqa
ModuleNotFoundError: No module named 'sklearn.__check_build._check_build'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/usr/lib/python3.8/site-packages/sphinx/config.py", line 351, in eval_config_file
    exec(code, namespace)  # NoQA: S102
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/doc/conf.py", line 20, in <module>
    from sklearn.externals._packaging.version import parse
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__init__.py", line 81, in <module>
    from . import __check_build  # noqa: F401
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 50, in <module>
    raise_build_error(e)
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 31, in raise_build_error
    raise ImportError(
ImportError: No module named 'sklearn.__check_build._check_build'
___________________________________________________________________________
Contents of /home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build:
__init__.py               _check_build.pyx          _check_build.c
__pycache__
___________________________________________________________________________
It seems that scikit-learn has not been built correctly.

If you have installed scikit-learn from source, please do not forget
to build the package before using it: run `python setup.py install` or
`make` in the source directory.

If you have used an installer, please check that it is suited for your
Python version, your operating system and your platform.


Configuration error:
There is a programmable error in your configuration file:

Traceback (most recent call last):
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 48, in <module>
    from ._check_build import check_build  # noqa
ModuleNotFoundError: No module named 'sklearn.__check_build._check_build'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/usr/lib/python3.8/site-packages/sphinx/config.py", line 351, in eval_config_file
    exec(code, namespace)  # NoQA: S102
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/doc/conf.py", line 20, in <module>
    from sklearn.externals._packaging.version import parse
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__init__.py", line 81, in <module>
    from . import __check_build  # noqa: F401
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 50, in <module>
    raise_build_error(e)
  File "/home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build/__init__.py", line 31, in raise_build_error
    raise ImportError(
ImportError: No module named 'sklearn.__check_build._check_build'
___________________________________________________________________________
Contents of /home/tkloczko/rpmbuild/BUILD/scikit-learn-1.2.1/sklearn/__check_build:
__init__.py               _check_build.pyx          _check_build.c
__pycache__
___________________________________________________________________________
It seems that scikit-learn has not been built correctly.

If you have installed scikit-learn from source, please do not forget
to build the package before using it: run `python setup.py install` or
`make` in the source directory.

If you have used an installer, please check that it is suited for your
Python version, your operating system and your platform.
```
</details>

### Versions

```shell
1.2.1
```

COMMENT:
It is module with two undersores in name but there is no with only one.

Labels: Bug, Documentation, Needs Decision - Include Feature