load_dataset('openwebtext') yields "Compressed file ended before the end-of-stream marker was reached"
## Describe the bug
When I try `load_dataset('openwebtext')`, I receive a "EOFError: Compressed file ended before the end-of-stream marker was reached" error.

## Steps to reproduce the bug
```
from datasets import load_dataset
dataset = load_dataset('openwebtext')
```

## Expected results
I expect the `dataset` variable to be properly constructed.

## Actual results

```
File "/home/rschaef/CoCoSci-Language-Distillation/distillation_v2/ratchet_learning/tasks/base.py", line 37, in create_dataset
    dataset_str,
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/load.py", line 1117, in load_dataset
    use_auth_token=use_auth_token,
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/builder.py", line 637, in download_and_prepare
    dl_manager=dl_manager, verify_infos=verify_infos, **download_and_prepare_kwargs
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/builder.py", line 704, in _download_and_prepare
    split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
  File "/home/rschaef/.cache/huggingface/modules/datasets_modules/datasets/openwebtext/85b3ae7051d2d72e7c5fdf6dfb462603aaa26e9ed506202bf3a24d261c6c40a1/openwebtext.py", line 61, in _split_generators
    dl_dir = dl_manager.download_and_extract(_URL)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/download_manager.py", line 284, in download_and_extract
    return self.extract(self.download(url_or_urls))
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/download_manager.py", line 261, in extract
    partial(cached_path, download_config=download_config), path_or_paths, num_proc=num_proc, disable_tqdm=False
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/py_utils.py", line 197, in map_nested
    return function(data_struct)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/file_utils.py", line 316, in cached_path
    output_path, force_extract=download_config.force_extract
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 40, in extract
    self.extractor.extract(input_path, output_path, extractor=extractor)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 179, in extract
    return extractor.extract(input_path, output_path)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 53, in extract
    tar_file.extractall(output_path)
  File "/usr/lib/python3.6/tarfile.py", line 2010, in extractall
    numeric_owner=numeric_owner)
  File "/usr/lib/python3.6/tarfile.py", line 2052, in extract
    numeric_owner=numeric_owner)
  File "/usr/lib/python3.6/tarfile.py", line 2122, in _extract_member
    self.makefile(tarinfo, targetpath)
  File "/usr/lib/python3.6/tarfile.py", line 2171, in makefile
    copyfileobj(source, target, tarinfo.size, ReadError, bufsize)
  File "/usr/lib/python3.6/tarfile.py", line 249, in copyfileobj
    buf = src.read(bufsize)
  File "/usr/lib/python3.6/lzma.py", line 200, in read
    return self._buffer.read(size)
  File "/usr/lib/python3.6/_compression.py", line 68, in readinto
    data = self.read(len(byte_view))
  File "/usr/lib/python3.6/_compression.py", line 99, in read
    raise EOFError("Compressed file ended before the "
python-BaseException
EOFError: Compressed file ended before the end-of-stream marker was reached
```


## Environment info
- `datasets` version: 1.12.1
- Platform: Linux-4.4.0-173-generic-x86_64-with-Ubuntu-16.04-xenial
- Python version: 3.6.10
- PyArrow version: 5.0.0