Is it possible to pass multiple links to a split in load script?
**Is your feature request related to a problem? Please describe.**
I wanted to use a python loading script in hugging face datasets that use different sources of text (it's somehow a compilation of multiple datasets + my own dataset) based on how `load_dataset` [works](https://huggingface.co/docs/datasets/loading) I assumed I could do something like bellow in my loading script:

```python
...
_URL = "MY_DATASET_URL/resolve/main/data/"
_URLS = {
    "train": [
        "FIRST_URL_TO.txt",
        _URL + "train-00000-of-00001-676bfebbc8742592.parquet"
    ]
}
...
```
but when loading the dataset it raises the following error:
```python
File ~/.local/lib/python3.8/site-packages/datasets/builder.py:704, in DatasetBuilder.download_and_prepare(self, download_config, download_mode, ignore_verifications, try_from_hf_gcs, dl_manager, base_path, use_auth_token, **download_and_prepare_kwargs)
    702         logger.warning("HF google storage unreachable. Downloading and preparing it from source")
    703 if not downloaded_from_gcs:
--> 704     self._download_and_prepare(
    705         dl_manager=dl_manager, verify_infos=verify_infos, **download_and_prepare_kwargs
...
    668     if isinstance(a, str):
    669         # Force-cast str subclasses to str (issue #21127)
    670         parts.append(str(a))

TypeError: expected str, bytes or os.PathLike object, not list
```

**Describe the solution you'd like**
I believe since it's possible for `load_dataset` to get list of URLs instead of just a URL for `train` split it can be possible here too.

**Describe alternatives you've considered**
An alternative solution would be to download all needed datasets locally and `push_to_hub` them all, but since the datasets I'm talking about are huge it's not among my options. 

**Additional context**
I think loading `text` beside the `parquet` is completely a different issue but I believe I can figure it out by proposing a config for my dataset to load each entry of `_URLS['train']` separately either by `load_dataset("text", ...` or `load_dataset("parquet", ...`.
