Streaming local gzip compressed JSON line files is not working
Updating to pyarrow-4.0.1 didn't fix the issue Here is an exemple dataset with 2 of these compressed JSON files: https://huggingface.co/datasets/thomwolf/github-python Hi @thomwolf, thanks for reporting.

It seems this might be due to the fact that the JSON Dataset builder uses `pyarrow.json` (`paj.read_json`) to read the data without using the Python standard `open(file,...` (which is the one patched with `xopen` to work in streaming mode).

This has to be fixed. Sorry for reopening this, but I'm having the same issue as @thomwolf when streaming a gzipped JSON Lines file from the hub. Or is that just not possible by definition?
I installed `datasets`in editable mode from source (so probably includes the fix from #2608 ?): 
```
>>> datasets.__version__
'1.9.1.dev0'
```

```
>>> msmarco = datasets.load_dataset("webis/msmarco", "corpus", streaming=True)
Using custom data configuration corpus-174d3b7155eb68db
>>> msmarco_iter = iter(msmarco['train'])
>>> print(next(msmarco_iter))
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/media/ssd/TREC/msmarco/datasets/src/datasets/iterable_dataset.py", line 338, in __iter__
    for key, example in self._iter():
  File "/media/ssd/TREC/msmarco/datasets/src/datasets/iterable_dataset.py", line 335, in _iter
    yield from ex_iterable
  File "/media/ssd/TREC/msmarco/datasets/src/datasets/iterable_dataset.py", line 78, in __iter__
    for key, example in self.generate_examples_fn(**self.kwargs):
  File "/home/christopher/.cache/huggingface/modules/datasets_modules/datasets/msmarco/eb63dff8d83107168e973c7a655a6082d37e08d71b4ac39a0afada479c138745/msmarco.py", line 96, in _generate_examples
    with gzip.open(file, "rt", encoding="utf-8") as f:
  File "/usr/lib/python3.6/gzip.py", line 53, in open
    binary_file = GzipFile(filename, gz_mode, compresslevel)
  File "/usr/lib/python3.6/gzip.py", line 163, in __init__
    fileobj = self.myfileobj = builtins.open(filename, mode or 'rb')
FileNotFoundError: [Errno 2] No such file or directory: 'https://huggingface.co/datasets/webis/msmarco/resolve/main/msmarco_doc_00.gz'
```

Loading the dataset without streaming set to True, works fine. Hi ! To make the streaming work, we extend `open` in the dataset builder to work with urls.

Therefore you just need to use `open` before using `gzip.open`:
```diff
- with gzip.open(file, "rt", encoding="utf-8") as f:
+ with gzip.open(open(file, "rb"), "rt", encoding="utf-8") as f:
```

You can see that it is the case for oscar.py and c4.py for example:

https://github.com/huggingface/datasets/blob/8814b393984c1c2e1800ba370de2a9f7c8644908/datasets/oscar/oscar.py#L358-L358

https://github.com/huggingface/datasets/blob/8814b393984c1c2e1800ba370de2a9f7c8644908/datasets/c4/c4.py#L88-L88

 @lhoestq Sorry I missed that. Thank you Quentin!
## Describe the bug
Using streaming to iterate on local gzip compressed JSON files raise a file not exist error

## Steps to reproduce the bug
```python
from datasets import load_dataset

streamed_dataset = load_dataset('json', split='train', data_files=data_files, streaming=True)

next(iter(streamed_dataset))
```

## Actual results
```
FileNotFoundError                         Traceback (most recent call last)
<ipython-input-6-27a664e29784> in <module>
----> 1 next(iter(streamed_dataset))

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in __iter__(self)
    336 
    337     def __iter__(self):
--> 338         for key, example in self._iter():
    339             if self.features:
    340                 # we encode the example for ClassLabel feature types for example

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in _iter(self)
    333         else:
    334             ex_iterable = self._ex_iterable
--> 335         yield from ex_iterable
    336 
    337     def __iter__(self):

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in __iter__(self)
     76 
     77     def __iter__(self):
---> 78         for key, example in self.generate_examples_fn(**self.kwargs):
     79             yield key, example
     80 

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in wrapper(**kwargs)
    282     def wrapper(**kwargs):
    283         python_formatter = PythonFormatter()
--> 284         for key, table in generate_tables_fn(**kwargs):
    285             batch = python_formatter.format_batch(table)
    286             for i, example in enumerate(_batch_to_examples(batch)):

~/Documents/GitHub/datasets/src/datasets/packaged_modules/json/json.py in _generate_tables(self, files, original_files)
     85                         file,
     86                         read_options=self.config.pa_read_options,
---> 87                         parse_options=self.config.pa_parse_options,
     88                     )
     89                 except pa.ArrowInvalid as err:

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/_json.pyx in pyarrow._json.read_json()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/_json.pyx in pyarrow._json._get_reader()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.get_input_stream()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.get_native_file()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.OSFile.__cinit__()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.OSFile._open_readable()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/error.pxi in pyarrow.lib.pyarrow_internal_check_status()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/error.pxi in pyarrow.lib.check_status()

FileNotFoundError: [Errno 2] Failed to open local file 'gzip://file-000000000000.json::/Users/thomwolf/github-dataset/file-000000000000.json.gz'. Detail: [errno 2] No such file or directory
```

## Environment info
- `datasets` version: 1.9.1.dev0
- Platform: Darwin-19.6.0-x86_64-i386-64bit
- Python version: 3.7.7
- PyArrow version: 1.0.0