This URL changed upstream. Fix it by using the same upstream URL as the LGTM Python image.
We can revisit separately whether to drop the Python 2 pip installation entirely.
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.