[BUG] No such file or directory
This happens when both
1. Huggingface datasets cache dir does not exist
2. Try to load a local dataset script

builder.py throws an error when trying to create a filelock in a directory (cache/datasets) that does not exist
https://github.com/huggingface/datasets/blob/master/src/datasets/builder.py#L177

Tested on v1.0.2

@lhoestq 