Fix streaming tar files from canonical datasets
Previous PR #2800 implemented support to stream remote tar files when passing the parameter `data_files`: they required a glob string `"*"`.

However, this glob string creates an error when streaming canonical datasets (with a `join` after the `open`).

This PR fixes this issue and allows streaming tar files both from:
- canonical datasets scripts and
- data files.

This PR also adds support for compressed tar files: `.tar.gz`, `.tar.bz2`,...
