Document better when relative paths are transformed to URLs
As discussed with @ydshieh, when passing a relative path as `data_dir` to `load_dataset` of a dataset hosted on the Hub, the relative path is transformed to the corresponding URL of the Hub dataset.

Currently, we mention this in our docs here: [Create a dataset loading script > Download data files and organize splits](https://huggingface.co/docs/datasets/v2.4.0/en/dataset_script#download-data-files-and-organize-splits)
> If the data files live in the same folder or repository of the dataset script, you can just pass the relative paths to the files instead of URLs.

Maybe we should document better how relative paths are handled, not only when creating a dataset loading script, but also when passing to `load_dataset`:
- `data_dir`
- `data_files`

CC: @stevhliu 