Try adding path manualyl for pyarrow DLLs

ci/scripts/python_wheel_windows_build.bat

@@ -128,6 +128,6 @@ python setup.py bdist_wheel || exit /B 1
 pip install delvewheel || exit /B 1
 for /f %%i in ('dir dist\pyarrow-*.whl /B') do set WHEEL_NAME=dist\%%i || exit /B 1
 echo "Wheel name: %WHEEL_NAME%"
-delvewheel repair %WHEEL_NAME% -w repaired_wheels || exit /B 1
+delvewheel repair %WHEEL_NAME% --add-path C:\arrow\python\build\bdist.win-amd64\wheel\pyarrow -w repaired_wheels || exit /B 1
 delvewheel show %WHEEL_NAME% || exit /B 1
 popd