Support multiple zipped CSV data files
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@lhoestq I would like to draw your attention to the proposed API by @lewtun, using `data_dir` to pass the ZIP URL.

I'm not totally convinced with this... What do you think?

Maybe we could discuss other approaches...

One brainstorming idea: what about using URL chaining with the hop operator in `data_files`?
2021-10-05T13:23:24Z
https://github.com/huggingface/datasets/issues/3018#issuecomment-934411204
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2021-10-05T13:24:42Z
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MEMBER
`data_dir` is currently exclusively used for manually downloaded data.

Maybe we can have an API that only uses data_files as you are suggesting, using URL chaining ?
```python
from datasets import load_dataset

url = "https://domain.org/filename.zip"
data_files = {"train": "zip://train_filename.csv::" + url, "test": "zip://test_filename.csv::" + url}
dataset = load_dataset("csv", data_files=data_files)
```

URL chaining is used by `fsspec` to get access to files in nested filesystems of any kind. Since `fsspec` is being used by `pandas`, `dask` and also extensively by `datasets` I think it would be nice to use it here too
2021-10-05T13:56:30Z
https://github.com/huggingface/datasets/issues/3018#issuecomment-934438796
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2021-10-05T13:58:22Z
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MEMBER
URL chaining sounds super nice to me! And it's also a nice way to leverage the same concepts we currently have in the docs around `fsspec` :)
2021-10-05T14:32:57Z
https://github.com/huggingface/datasets/issues/3018#issuecomment-934468538
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2021-10-05T14:32:57Z
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As requested by @lewtun, support loading multiple zipped CSV data files.

```python
from datasets import load_dataset

url = "https://domain.org/filename.zip"
data_files = {"train": "train_filename.csv", "test": "test_filename.csv"}
dataset = load_dataset("csv", data_dir=url, data_files=data_files)
```
