BUG: ArgKmin64 on Windows with scipy 1.13rc1 or 1.14.dev times out

In MNE-Python our Windows [pip-pre job on Azure has started reliably timing out](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29467&view=logs&jobId=dded70eb-633c-5c42-e995-a7f8d1f99d91&j=dded70eb-633c-5c42-e995-a7f8d1f99d91&t=d18f7f2f-13af-5901-1cbc-7fa039d0db3a) (and a [second example](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29468&view=logs&j=b9064c46-2375-5b70-72c1-f55d0d61c63a&t=22e60518-c9c9-558d-d42d-7392b6cf8931)):
```
mne/preprocessing/tests/test_interpolate.py::test_find_centroid PASSED   [ 38%]
##[error]The Operation will be canceled. The next steps may not contain expected logs.
Fatal Python error: PyThreadState_Get: the function must be called with the GIL held, but the GIL is released (the current Python thread state is NULL)
Python runtime state: initialized

...
Thread 0x000014fc (most recent call first):
  File "C:\hostedtoolcache\windows\Python\3.11.8\x64\Lib\site-packages\sklearn\metrics\_pairwise_distances_reduction\_dispatcher.py", line 278 in compute
  File "C:\hostedtoolcache\windows\Python\3.11.8\x64\Lib\site-packages\sklearn\neighbors\_base.py", line 850 in kneighbors
  File "C:\hostedtoolcache\windows\Python\3.11.8\x64\Lib\site-packages\sklearn\neighbors\_lof.py", line 291 in fit
  File "C:\hostedtoolcache\windows\Python\3.11.8\x64\Lib\site-packages\sklearn\base.py", line 1474 in wrapper
  File "C:\hostedtoolcache\windows\Python\3.11.8\x64\Lib\site-packages\sklearn\neighbors\_lof.py", line 256 in fit_predict
  File "D:\a\1\s\mne\preprocessing\_lof.py", line 89 in find_bad_channels_lof
  File "<decorator-gen-627>", line 12 in find_bad_channels_lof
  File "D:\a\1\s\mne\preprocessing\tests\test_lof.py", line 31 in test_lof
...
```
Our code just calls the following (and hasn't been changed):
```
    clf = LocalOutlierFactor(n_neighbors=n_neighbors, metric=metric)
    clf.fit_predict(data)
```
which eventually in the traceback points to the line:

https://github.com/scikit-learn/scikit-learn/blob/e5ce4bc0f6eb8fe21cd4e3dcebabefcc5485f907/sklearn/metrics/_pairwise_distances_reduction/_dispatcher.py#L278

18 hours ago all our tests passed [in 40 minutes](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29454&view=logs&jobId=dded70eb-633c-5c42-e995-a7f8d1f99d91), then 3 hours ago it started [failing 38% through the tests with a 70 minute timeout](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29460&view=logs&jobId=dded70eb-633c-5c42-e995-a7f8d1f99d91&j=dded70eb-633c-5c42-e995-a7f8d1f99d91&t=d18f7f2f-13af-5901-1cbc-7fa039d0db3a), and gets to the point only ~27 minutes into the build:

![image](https://github.com/scikit-learn/scikit-learn/assets/2365790/bb3c2997-dae5-435e-92e7-6af0bb7cd2fb)

This suggests that the latest scientific-python-nightly-wheels upload of scikit-learn (and/or NumPy) 11 hours ago caused something in here to hang, so probably some recent PR to sklearn or NumPy is the culprit.

Not exactly a MWE -- I'm not on Windows at the moment but could switch at some point -- but maybe someone has an idea about why it's happening...?

COMMENT:
:sob: it's [back](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29507&view=logs&j=dded70eb-633c-5c42-e995-a7f8d1f99d91&t=d18f7f2f-13af-5901-1cbc-7fa039d0db3a) -- from [here](https://dev.azure.com/mne-tools/mne-python/_build/results?buildId=29507&view=logs&j=dded70eb-633c-5c42-e995-a7f8d1f99d91&t=696f2e49-e3ef-5e19-60e9-ed2e10d75470) the failing config is:
```console
├☑ numpy                1.26.4 (OpenBLAS 0.3.23.dev with 2 threads)
├☑ scipy                1.14.0.dev0+577.d891e40
├☑ sklearn              1.5.dev0
```
Locally in my VM installing these and doing:
```
$ pip install --extra-index-url "https://pypi.anaconda.org/scientific-python-nightly-wheels/simple" "scikit-learn>=1.5.dev0" "scipy>=1.14.0.dev0" "numpy==1.26.4"
$ pytest mne/preprocessing/tests/test_lof.py
```

1. I can reproduce the hang!
2. Doing `pip install scipy==1.12.0` fixes it
3. It doesn't matter which `numpy` I have installed, same hang with both 1.26.4 and 2.1.0.dev0

So I'm guessing it must have something to do with sklearn's internal use of some SciPy functions. Perhaps it's related to BLAS/LAPACK -- I know some infrastructure there has changed lately for SciPy...

I also boiled it down to a one-liner for you @lesteve , hopefully it reproduces for you like it does for me:
```console
python -c "import numpy as np; from sklearn.neighbors import LocalOutlierFactor; LocalOutlierFactor(metric='euclidean').fit_predict(np.zeros((20, 14000)))"
```

Labels: cython