You can't trigger a build with a pull request unfortunately, not that I know of. The reason is, because there is no commit to run. The pull request hasn't actually made any changes in the code, so there is nothing to run. That is why it only runs when you merge the request.
What I think you want to do is prove that the pull request doesn't break anything before you merge into master, and this is a very good idea.
What I think you should do is create a branch of master called "staging" or something like that.
Now when ever a pull request is made, it needs to be made to staging, not to master.
Now you can review and accept the request, merge it into "staging", and then let ci run that build.
Then when the build passes you know it is good, and you can merge it into master safely.
Another approach to this is to make sure that you merge master into your working branch. Then push the working branch, and let ci run that build.
Then when you do a pull request git hub will tell you if the ci build passed or failed. And you know that master was merge into the working branch, so if you merge that back to master, it will also pass.