diff --git a/ci/azure/windows.yml b/ci/azure/windows.yml
index 5938ba1fd69f5..601a834d6306a 100644
--- a/ci/azure/windows.yml
+++ b/ci/azure/windows.yml
@@ -16,7 +16,7 @@ jobs:
       py38_np18:
         ENV_FILE: ci/deps/azure-windows-38.yaml
         CONDA_PY: "38"
-        PATTERN: "not slow and not network"
+        PATTERN: "not slow and not network and not high_memory"
 
   steps:
     - powershell: |
diff --git a/ci/run_tests.sh b/ci/run_tests.sh
index fda2005ce7843..9b553fbc81a03 100755
--- a/ci/run_tests.sh
+++ b/ci/run_tests.sh
@@ -22,6 +22,12 @@ fi
 
 PYTEST_CMD="${XVFB}pytest -m \"$PATTERN\" -n $PYTEST_WORKERS --dist=loadfile -s --strict --durations=30 --junitxml=test-data.xml $TEST_ARGS $COVERAGE pandas"
 
+if [[ $(uname) != "Linux"  && $(uname) != "Darwin" ]]; then
+    # GH#37455 windows py38 build appears to be running out of memory
+    #  skip collection of window tests
+    PYTEST_CMD="$PYTEST_CMD --ignore=pandas/tests/window/"
+fi
+
 echo $PYTEST_CMD
 sh -c "$PYTEST_CMD"
 
diff --git a/pandas/tests/frame/test_api.py b/pandas/tests/frame/test_api.py
index 34d56672e5536..b6dde90ce161f 100644
--- a/pandas/tests/frame/test_api.py
+++ b/pandas/tests/frame/test_api.py
@@ -2,6 +2,7 @@
 import datetime
 import inspect
 import pydoc
+import warnings
 
 import numpy as np
 import pytest
@@ -561,9 +562,13 @@ def test_constructor_expanddim_lookup(self):
         #  raise NotImplementedError
         df = DataFrame()
 
-        with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
+        with warnings.catch_warnings(record=True) as wrn:
             # _AXIS_NUMBERS, _AXIS_NAMES lookups
             inspect.getmembers(df)
 
+        # some versions give FutureWarning, others DeprecationWarning
+        assert len(wrn)
+        assert any(x.category in [FutureWarning, DeprecationWarning] for x in wrn)
+
         with pytest.raises(NotImplementedError, match="Not supported for DataFrames!"):
             df._constructor_expanddim(np.arange(27).reshape(3, 3, 3))