Fix load_dataset for data_files with protocols other than HF
Fixes huggingface/datasets/issues/6598

I've added a new test case and a solution. Before applying the solution the test case was failing with the same error described in the linked issue.

MRE:
```
pip install "datasets[s3]"
python -c "from datasets import load_dataset; load_dataset('csv', data_files={'train': 's3://noaa-gsod-pds/2024/A5125600451.csv'})"
```