It's important that the tests are also run without -DVERIFY due to the possibility that side-effects of a VERIFY_CHECK fix a bug that would otherwise be detected. Use of the verify_check macro in tests isn't sufficient.
Backport of secp256k1 PR628:
https://github.com/bitcoin-core/secp256k1/pull/628
This will also fix the build with coverage for secp256k1.