Forked streaming datasets try to `open` data urls rather than use network
## Describe the bug
Building on #3950, if you bypass the pickling problem you still can't use the dataset. Somehow something gets confused and the forked processes try to `open` urls rather than anything else.

## Steps to reproduce the bug
```python
from multiprocessing import freeze_support

import transformers
from transformers import Trainer, AutoModelForCausalLM, TrainingArguments
import datasets
import torch.utils.data

# work around #3950
class TorchIterableDataset(datasets.IterableDataset, torch.utils.data.IterableDataset):
    pass

def _ensure_format(v: datasets.IterableDataset) -> datasets.IterableDataset:
    return TorchIterableDataset(v._ex_iterable, v.info, v.split, "torch", v._shuffling)

if __name__ == '__main__':
    freeze_support()

    ds = datasets.load_dataset('oscar', "unshuffled_deduplicated_en", split='train', streaming=True)
    ds = _ensure_format(ds)

    model = AutoModelForCausalLM.from_pretrained("distilgpt2")
    Trainer(model, train_dataset=ds, args=TrainingArguments("out", max_steps=1000, dataloader_num_workers=4)).train()
```

## Expected results

I'd expect the dataset to load the url correctly and produce examples.

## Actual results
```
  warnings.warn(
***** Running training *****
  Num examples = 8000
  Num Epochs = 9223372036854775807
  Instantaneous batch size per device = 8
  Total train batch size (w. parallel, distributed & accumulation) = 8
  Gradient Accumulation steps = 1
  Total optimization steps = 1000
  0%|          | 0/1000 [00:00<?, ?it/s]Traceback (most recent call last):
  File "/Users/dlwh/src/mistral/src/stream_fork_crash.py", line 22, in <module>
    Trainer(model, train_dataset=ds, args=TrainingArguments("out", max_steps=1000, dataloader_num_workers=4)).train()
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/transformers/trainer.py", line 1339, in train
    for step, inputs in enumerate(epoch_iterator):
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/dataloader.py", line 521, in __next__
    data = self._next_data()
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/dataloader.py", line 1203, in _next_data
    return self._process_data(data)
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/dataloader.py", line 1229, in _process_data
    data.reraise()
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/_utils.py", line 434, in reraise
    raise exception
FileNotFoundError: Caught FileNotFoundError in DataLoader worker process 0.
Original Traceback (most recent call last):
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/_utils/worker.py", line 287, in _worker_loop
    data = fetcher.fetch(index)
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/_utils/fetch.py", line 32, in fetch
    data.append(next(self.dataset_iter))
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 497, in __iter__
    for key, example in self._iter():
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 494, in _iter
    yield from ex_iterable
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/datasets/iterable_dataset.py", line 87, in __iter__
    yield from self.generate_examples_fn(**self.kwargs)
  File "/Users/dlwh/.cache/huggingface/modules/datasets_modules/datasets/oscar/84838bd49d2295f62008383b05620571535451d84545037bb94d6f3501651df2/oscar.py", line 358, in _generate_examples
    with gzip.open(open(filepath, "rb"), "rt", encoding="utf-8") as f:
FileNotFoundError: [Errno 2] No such file or directory: 'https://s3.amazonaws.com/datasets.huggingface.co/oscar/1.0/unshuffled/deduplicated/en/en_part_1.txt.gz'

Error in atexit._run_exitfuncs:
Traceback (most recent call last):
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/multiprocessing/popen_fork.py", line 27, in poll
    pid, sts = os.waitpid(self.pid, flag)
  File "/Users/dlwh/.conda/envs/mistral/lib/python3.8/site-packages/torch/utils/data/_utils/signal_handling.py", line 66, in handler
    _error_if_any_worker_fails()
RuntimeError: DataLoader worker (pid 6932) is killed by signal: Terminated: 15. 
  0%|          | 0/1000 [00:02<?, ?it/s]
```

## Environment info
<!-- You can run the command `datasets-cli env` and copy-and-paste its output below. -->
- `datasets` version: 2.0.0
- Platform: macOS-12.2-arm64-arm-64bit
- Python version: 3.8.12
- PyArrow version: 7.0.0
- Pandas version: 1.4.1
