Similar (persistent) problem here on Win10, Julia 1.6.0:
julia> Pkg.build("PyCall")
Building Conda ─→ `C:\Users\jrafa\.julia\scratchspaces\44cfe95a-1eb2-52ea-b672-e2afdf69b78f\6231e40619c15148bcb80aa19d731e629877d762\build.log`
Building PyCall → `C:\Users\jrafa\.julia\scratchspaces\44cfe95a-1eb2-52ea-b672-e2afdf69b78f\169bb8ea6b1b143c5cf57df6d34d022a7b60c6db\build.log`
ERROR: Error building `PyCall`:
Collecting package metadata (current_repodata.json): ...working... failed
CondaHTTPError: HTTP 000 CONNECTION FAILED for url <https://repo.anaconda.com/pkgs/main/win-64/current_repodata.json>
Elapsed: -