[CI][C++] Reinstate a code coverage job

Long ago we used to have code coverage measured on our Travis-CI setup. We dropped it because it was difficult to maintain and also a bit costly in additional execution time AFAIR.

Now that we have nightly builds using Crossbow and the flexibility of Github Actions workflows (where we could even perhaps run coverage on e.g. Linux and Windows, then combine the files as a final merge job), we should be able to create a new code coverage job.

**Reporter**: [Antoine Pitrou](https://issues.apache.org/jira/browse/ARROW-15768) / @pitrou

_{**Note**: *This issue was originally created as [ARROW-15768](https://issues.apache.org/jira/browse/ARROW-15768). Please see the [migration documentation](https://github.com/apache/arrow/issues/14542) for further details.*}

Start by reviewing the existing nightly Crossbow and GitHub Actions workflows, then look for the historical Travis-CI coverage setup. Done means a maintainable code coverage job is restored, with any platform combination and merge step validated in the workflow.

Written by the indexing model from the issue text.