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This is not a problem with catkin or CI, you just have to fix your setup.py.

From https://docs.python.org/2.7/distutils/setupscript.html#listing-whole-packages:

Keep in mind that although package_dir applies recursively, you must explicitly list all packages in packages: the Distutils will not recursively scan your source tree looking for any directory with an __init__.py file

catkin does not offer any special support here (http://docs.ros.org/en/melodic/api/catkin/html/howto/format2/installing_python.html):

Note: As in setuptools, the packages list is not recursive, and sub-packages must be included explicitly (e.g. your_package.tools.my_util which would contain the python modules defined in the folder src/your_package/tools/my_util/, along with an __init__.py file)

If you want my_pkg.my_subpkg to get installed, you have to list it explicitly.

packages=[
  'my_pkg',
  'my_pkg.my_subpkg', 
],