Add support for axis in concatenate datasets
@lhoestq I am going to implement the consolidation step you mentioned in #1870. @lhoestq I was thinking that the order of the TableBlocks is not relevant, isn't it?

I mean, in order to consolidate _consecutive_ in-memory table blocks, in this case:
```
blocks = [in_memory_1, memory_mapped, in_memory_2]
```
I could reorder the list:
```
blocks = [in_memory_1, in_memory_2, memory_mapped]
```
so that the first 2 can be consolidated into a single one:
```
blocks = [in_memory_3, memory_mapped]
``` I think the order is important, users won't expect the dataset to be "shuffled" when they add a new item > I think the order is important, users won't expect the dataset to be "shuffled" when they add a new item

OK, therefore I leave `_consolidate_blocks` as it is, which currently keeps the order of the blocks (no shuffling). Thank you guys for implementing this. Minor thing I noticed in the [documentation](https://huggingface.co/docs/datasets/package_reference/main_classes.html#datasets.concatenate_datasets): it says "Converts a list of Dataset with **the same schema** into a single Dataset". With the addition of the axis parameter, perhaps this should be reworded, no?
Add support for `axis` (0 or 1) in `concatenate_datasets`.

Close #853.