Pubmed dataset does not work in streaming mode
MEMBER
Thanks for reporting, @abhi-mosaic (related to #3655).

Please note that `xml.etree.ElementTree.parse` already supports streaming:
- #3476

No need to refactor to use `open`/`xopen`. Is is enough with importing the package `as ET` (instead of `as etree`).
2022-02-17T10:05:38Z
https://github.com/huggingface/datasets/issues/3739#issuecomment-1042776398
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2022-02-17T10:12:20Z
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## Describe the bug
Trying to use the `pubmed` dataset with `streaming=True` fails.

## Steps to reproduce the bug
```python
import datasets
pubmed_train = datasets.load_dataset('pubmed', split='train', streaming=True)
print (next(iter(pubmed_train)))
```

## Expected results
I would expect to see the first training sample from the pubmed dataset. 

## Actual results
```
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/Users/abhinav/Documents/mosaicml/mosaicml_venv/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 367, in __iter__
    for key, example in self._iter():
  File "/Users/abhinav/Documents/mosaicml/mosaicml_venv/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 364, in _iter
    yield from ex_iterable
  File "/Users/abhinav/Documents/mosaicml/mosaicml_venv/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 79, in __iter__
    for key, example in self.generate_examples_fn(**self.kwargs):
  File "/Users/abhinav/.cache/huggingface/modules/datasets_modules/datasets/pubmed/9715addf10c42a7877a2149ae0c5f2fddabefc775cd1bd9b03ac3f012b86ce46/pubmed.py", line 373, in _generate_examples
    tree = etree.parse(filename)
  File "/Library/Developer/CommandLineTools/Library/Frameworks/Python3.framework/Versions/3.8/lib/python3.8/xml/etree/ElementTree.py", line 1202, in parse
    tree.parse(source, parser)
  File "/Library/Developer/CommandLineTools/Library/Frameworks/Python3.framework/Versions/3.8/lib/python3.8/xml/etree/ElementTree.py", line 584, in parse
    source = open(source, "rb")
FileNotFoundError: [Errno 2] No such file or directory: 'gzip://pubmed21n0001.xml::ftp://ftp.ncbi.nlm.nih.gov/pubmed/baseline/pubmed21n0001.xml.gz'
```
## Environment info
<!-- You can run the command `datasets-cli env` and copy-and-paste its output below. -->
- `datasets` version: 1.18.2
- Platform: macOS-11.4-x86_64-i386-64bit
- Python version: 3.8.2
- PyArrow version: 6.0.0

## Comments
The error looks like an issue with `open` vs. `xopen` inside the `xml` package. It looks like it's trying to open the remote source URL, which has been edited with prefix `gzip://...`. 

Maybe there can be an explicit `xopen` before passing the raw data to `etree`, something like:

```python
# Before
tree = etree.parse(filename)
root = tree.getroot()

# After
with xopen(filename) as f:
  data_str = f.read()
root = etree.fromstring(data_str)
```