Raise a more precise error when the URL is unreachable in streaming mode
See for example:

- https://github.com/huggingface/datasets/issues/3191
- https://github.com/huggingface/datasets/issues/3186

It would help provide clearer information on the Hub and help the dataset maintainer solve the issue by themselves quicker. Currently:

- https://huggingface.co/datasets/compguesswhat

  <img width="1029" alt="Capture d’écran 2022-09-08 à 15 51 37" src="https://user-images.githubusercontent.com/1676121/189139946-6deffb91-f21b-4281-8825-a98026c69740.png">

- https://huggingface.co/datasets/nli_tr

  <img width="1032" alt="Capture d’écran 2022-09-08 à 15 51 44" src="https://user-images.githubusercontent.com/1676121/189139963-d26490ed-ad23-48ea-9cfc-1ab9c4d08d0c.png">


cc @albertvillanova 