Fix save_to_disk issue
CONTRIBUTOR
So I was curious why the issue reported at #1919 wasn't caught in [this test](https://github.com/huggingface/datasets/blob/248104c4bdb2e01c036b7578867199191fbff181/tests/test_arrow_dataset.py#L209), so I did some digging.
I tried to save to a temporary directory (just like in the test), like this:
```python
with tempfile.TemporaryDirectory() as requested_tempdir:
    squad.save_to_disk(requested_tempdir)     # no error
```
and it executes succesfuly without problems.
So why does it work, but this doesn't?
```python
squad.save_to_disk("./squad")   # error
```
It's because `save_to_disk` also creates a temporary directory (let's call it `tempdir`), and since `tempdir` and `requested_tempdir` share the same parents, the `Path.joinpath` method [(here)](https://github.com/huggingface/datasets/blob/248104c4bdb2e01c036b7578867199191fbff181/src/datasets/arrow_dataset.py#L469) will keep `requested_tempdir` as it is and the *train* directory will be created under `requested_tempdir` and hence no errors will arise.

But in the second case (where we are saving to a local dir), the *train* directory is created under *squad* which in turn is created under `tempdir`, not under `.` (current dir).

So, all of this probably doesn't help solving the issue but it might help creating a better test, and it also makes me wonder why are we saving to a temporary dir in `save_to_disk` anyway? I mean, won't it be removed with all its contents upon execution completion? what's the point then? 
2021-02-21T05:47:23Z
https://github.com/huggingface/datasets/pull/1920#issuecomment-782804564
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CLosing in favor of #1923
2021-02-22T10:30:11Z
https://github.com/huggingface/datasets/pull/1920#issuecomment-783271388
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Fixes #1919 
