Unable to successfully install scikit-learn development version with MacBookPro with chip Apple M1 Pro

### Describe the bug

I installed the development version of scikit-learn on my computer (MacBookPro with chip Apple M1 Pro). When I ran pytest I got the following error: 
```
(sklearn-dev) ➜  scikit-learn git:(main) pytest
=========================================================================================== test session starts ============================================================================================
platform darwin -- Python 3.9.10, pytest-7.0.1, pluggy-1.0.0
rootdir: /Users/maren/Documents/scikit-learn, configfile: setup.cfg, testpaths: sklearn
plugins: xdist-2.5.0, forked-1.4.0, cov-3.0.0
collecting ... [1]    54294 killed     pytest
```

I investigated what's going on an this is the result: 
https://gist.github.com/marenwestermann/9ffddb7a2f0ef6798d350f3595997ed1

I'm using a conda environment. I used the Miniforge3-MacOSX-arm64 download from here: https://github.com/conda-forge/miniforge#miniforge

This is the content of my sklearn-dev conda environment: 
https://gist.github.com/marenwestermann/c01fc4d3044522e329ce83d16680e1a5

### Steps/Code to Reproduce

```
pytest
```

```
python -vvv -c "import sklearn"
```

### Expected Results

The expected result would be that when the command `pytest` is run all test are either skipped or are successful. 

### Actual Results

Pytest result:
```
(sklearn-dev) ➜  scikit-learn git:(main) pytest
=========================================================================================== test session starts ============================================================================================
platform darwin -- Python 3.9.10, pytest-7.0.1, pluggy-1.0.0
rootdir: /Users/maren/Documents/scikit-learn, configfile: setup.cfg, testpaths: sklearn
plugins: xdist-2.5.0, forked-1.4.0, cov-3.0.0
collecting ... [1]    54294 killed     pytest
```
Further investigation: 
https://gist.github.com/marenwestermann/9ffddb7a2f0ef6798d350f3595997ed1

### Versions

```shell
function>
```

COMMENT:
> ```
> error: invalid command 'bdist_wheel'
> ```

I've noticed I need to install `wheel` on every new env, we probably should include it in our build dependencies and docs.

Here's what's worked so far (on @marenwestermann 's computer):

- follow advanced installation using homebrew [here](https://scikit-learn.org/stable/developers/advanced_installation.html#macos-compilers-from-homebrew)
- use system's python=3.8 to create a venv
- change the environment variables to:

```
export CC=/usr/bin/clang
export CXX=/usr/bin/clang++
export CPPFLAGS="$CPPFLAGS -Xpreprocessor -fopenmp"
export CFLAGS="$CFLAGS -I/opt/homebrew/opt/libomp/include"
export CXXFLAGS="$CXXFLAGS -I/opt/homebrew/opt/libomp/include"
export LDFLAGS="$LDFLAGS -Wl,-rpath,/opt/homebrew/opt/libomp/lib -L/opt/homebrew/opt/libomp/lib -lomp"
```

Then build and install. `pytest` now works.

```
python -c "import sklearn; sklearn.show_versions()"

System:
    python: 3.8.9 (default, Oct 26 2021, 07:25:53)  [Clang 13.0.0 (clang-1300.0.29.30)]
executable: /private/tmp/.venv/bin/python
   machine: macOS-12.2.1-arm64-arm-64bit

Python dependencies:
      sklearn: 1.1.dev0
          pip: 22.0.3
   setuptools: 49.2.1
        numpy: 1.22.2
        scipy: 1.8.0
       Cython: 0.29.28
       pandas: None
   matplotlib: None
       joblib: 1.1.0
threadpoolctl: 3.1.0

Built with OpenMP: False

threadpoolctl info:
       user_api: openmp
   internal_api: openmp
         prefix: libomp
       filepath: /opt/homebrew/Cellar/libomp/13.0.1/lib/libomp.dylib
        version: None
    num_threads: 10

       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: /private/tmp/.venv/lib/python3.8/site-packages/numpy/.dylibs/libopenblas64_.0.dylib
        version: 0.3.18
threading_layer: pthreads
   architecture: armv8
    num_threads: 10

       user_api: blas
   internal_api: openblas
         prefix: libopenblas
       filepath: /private/tmp/.venv/lib/python3.8/site-packages/scipy/.dylibs/libopenblas.0.dylib
        version: 0.3.17
threading_layer: pthreads
   architecture: armv8
    num_threads: 10
```

Labels: Bug, Build / CI