Provide better exception message when one of many files results in an exception
I find when I process many files, i.e.

```
train_files = glob.glob('rain*.csv')
validation_files = glob.glob(validation*.csv')
datasets = load_dataset("csv", data_files=dict(train=train_files, validation=validation_files))
```

I sometimes encounter an error due to one of the files being misformed (i.e. no data, or a comma in a field that isn't quoted, etc).

For example, this is the tail of an exception which I suspect is due to a stray comma.

>   File "pandas/_libs/parsers.pyx", line 756, in pandas._libs.parsers.TextReader.read
>   File "pandas/_libs/parsers.pyx", line 783, in pandas._libs.parsers.TextReader._read_low_memory
>   File "pandas/_libs/parsers.pyx", line 827, in pandas._libs.parsers.TextReader._read_rows
>   File "pandas/_libs/parsers.pyx", line 814, in pandas._libs.parsers.TextReader._tokenize_rows
>   File "pandas/_libs/parsers.pyx", line 1951, in pandas._libs.parsers.raise_parser_error
> pandas.errors.ParserError: Error tokenizing data. C error: Expected 2 fields in line 559, saw 3

It would be nice if the exception trace contained the name of the file being processed (I have 250 separate files!)