Make subdirs in tests/io/data
- [x] closes https://github.com/pandas-dev/pandas/issues/29439
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

A few of the "network" tests are failing locally as they require the data on master:
e.g
```
  @tm.network
    def test_spam_url(self):
        url = (
            "https://raw.githubusercontent.com/pandas-dev/pandas/master/"
            "pandas/tests/io/data/html/spam.html"
        )
        df1 = self.read_html(url, ".*Water.*")
        df2 = self.read_html(url, "Unit")

        assert_framelist_equal(df1, df2)
```

^ Will change to this branch to get the test passing on this PR. Then in a follow up PR will revert to master unless any core devs have a different idea
