Run 'GPT-J' failure due to download dataset fail (' ConnectionError: Couldn't reach http://eaidata.bmk.sh/data/enron_emails.jsonl.zst ' ) 
### Describe the bug

Run model "GPT-J" with dataset "the_pile" fail.
The fail out is as below:
![image](https://user-images.githubusercontent.com/52023469/207750127-118d9896-35f4-4ee9-90d4-d0ab9aae9c74.png)

Looks like which is due to "http://eaidata.bmk.sh/data/enron_emails.jsonl.zst" unreachable .

### Steps to reproduce the bug

Steps to reproduce this issue:

git clone https://github.com/huggingface/transformers
cd transformers
python examples/pytorch/language-modeling/run_clm.py --model_name_or_path EleutherAI/gpt-j-6B --dataset_name the_pile --dataset_config_name enron_emails --do_eval --output_dir /tmp/output --overwrite_output_dir

### Expected behavior

This issue looks like due to "http://eaidata.bmk.sh/data/enron_emails.jsonl.zst " couldn't be reached.
Is there another way to download the dataset "the_pile" ?
Is there another way to cache the dataset "the_pile" but not let the hg to download it when runtime ?

### Environment info

huggingface_hub version: 0.11.1
Platform: Linux-5.15.0-52-generic-x86_64-with-glibc2.35
Python version: 3.9.12
Running in iPython ?: No
Running in notebook ?: No
Running in Google Colab ?: No
Token path ?: /home/taosy/.huggingface/token
Has saved token ?: False
Configured git credential helpers:
FastAI: N/A
Tensorflow: N/A
Torch: N/A
Jinja2: N/A
Graphviz: N/A
Pydot: N/A