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In the README of this repo, it's suggested to use the `ubuntu-latest` environment.
That environment will soon be upgraded to Ubuntu 20.04: https://github.com/actions/virtual-environments/issues/1816

As pointed out in that issue, the updated image comes without a Python 2 pip preinstalled:

    Setup Python dependencies
    /home/runner/work/_actions/github/codeql-action/v1/python-setup/install_tools.sh
    [...]
      + python2 -m pip install --user --upgrade pip setuptools wheel
      /usr/bin/python2: No module named pip
    Warning: Unable to download and extract the tools needed for installing the python dependecies. You can call this action with 'setup-python-dependencies: false' to disable this process.