The error is occurring in Conda.jl while trying to install Anaconda Python, not in PyCall per se. (If you add Conda and run using Conda; Conda.update() you would presumably get the same error.) In particular, the Miniconda installer seems to be having network problems.
Possible workarounds: (1) Try using Miniforge instead of Anaconda by setting ENV["CONDA_JL_USE_MINIFORGE"] = "1" before building. (2) install your own Python, and tell PyCall about it by setting ENV["PYTHON"] to the path of python.exe before building.