Create automated issue when wheels failed on scikit-learn-release #6

With the wheels setup moving to scikit-learn-release, there are a few questions:

• which repo's CI is responsible for creating the automated issue. scikit-learn-release makes more sense since it will be running the full set of wheels.
• in which repo is the issue created? Maybe scikit-learn for higher visibility and consistency? For example, it is convenient to see all CI issues by saying author:scikit-learn-bot with this Github search. We can use the scikit-learn-bot user token (needs to be added in this repo secrets).
• how to share the code to create the automated issue in scikit-learn and scikit-learn-release
• other details I haven't thought about