Check alternative to `sphinx-action`

[alallema]

Currently, we referred to the tag master for the ammaraskar/sphinx-action like explained in this comment by @curquiza it's would be better to check for an alternative.

As specified by @sanders41 in this comment it could be great to remove the ammaraskar/sphinx-action and directly use make command to generate the documentation properly.

[kaggrwal]

@alallema assign this to me, i have worked on the original PR. So, i will work on this too on this weekend or sooner.

[alallema]

@kaggrwal of course !
Just for your information normally we prefer not assigning people to our issues because sometimes people ask to be assigned and never come back, which discourages volunteer contributors to open a PR to fix this issue.
But exceptionally I will assign you! ❤️