URL treated as local file for read_feather
Not sure if this is a pandas issue or pyarrow, but when I try to read from a URL:
```python
import pandas as pd
pd.read_feather("https://github.com/wesm/feather/raw/master/R/inst/feather/iris.feather")
```
I get the following error:
```
Traceback (most recent call last):
  File "<string>", line 1, in <module>
  File "/home/ubuntu/miniconda3/envs/pandas/lib/python3.7/site-packages/pandas/util/_decorators.py", line 208, in wrapper
    return func(*args, **kwargs)
  File "/home/ubuntu/miniconda3/envs/pandas/lib/python3.7/site-packages/pandas/io/feather_format.py", line 119, in read_feather
    return feather.read_feather(path, columns=columns, use_threads=bool(use_threads))
  File "/home/ubuntu/miniconda3/envs/pandas/lib/python3.7/site-packages/pyarrow/feather.py", line 214, in read_feather
    reader = FeatherReader(source)
  File "/home/ubuntu/miniconda3/envs/pandas/lib/python3.7/site-packages/pyarrow/feather.py", line 40, in __init__
    self.open(source)
  File "pyarrow/error.pxi", line 80, in pyarrow.lib.check_status
  File "pyarrow/io.pxi", line 1406, in pyarrow.lib.get_reader
  File "pyarrow/io.pxi", line 1395, in pyarrow.lib._get_native_file
  File "pyarrow/io.pxi", line 788, in pyarrow.lib.memory_map
  File "pyarrow/io.pxi", line 751, in pyarrow.lib.MemoryMappedFile._open
  File "pyarrow/error.pxi", line 80, in pyarrow.lib.check_status
pyarrow.lib.ArrowIOError: Failed to open local file 'https://github.com/wesm/feather/raw/master/R/inst/feather/iris.feather', error: No such file or directory
```

#### Output of ``pd.show_versions()``

<details>

```
INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.15.0-64-generic
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 0.25.1
numpy            : 1.17.3
pytz             : 2019.3
dateutil         : 2.8.0
pip              : 19.2.3
setuptools       : 41.4.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : 0.4.0
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : 0.15.0
pytables         : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
xarray           : None
xlrd             : None
xlwt             : None
xlsxwriter       : None
```

</details>
