Title: Loading the dataset from private S3 bucket gives "TypeError: cannot pickle '_contextvars.Context' object"
State: open

### Describe the bug

I'm trying to read the parquet file from the private s3 bucket using the `load_dataset` function, but I receive `TypeError: cannot pickle '_contextvars.Context' object` error

I'm working on a machine with `~/.aws/credentials` file. I can't give credentials and the path to a file in a private bucket for obvious reasons, but I'll try to give all possible outputs. 

### Steps to reproduce the bug

```python
import s3fs
from datasets import load_dataset
from aiobotocore.session import get_session


DATA_PATH = "s3://bucket_name/path/validation.parquet"
fs = s3fs.S3FileSystem(session=get_session())
```
`fs.stat` returns the data, so we can say that fs is working and we have all permissions
```python
fs.stat(DATA_PATH)
# Returns:
# {'ETag': '"123123a-19"',
# 'LastModified': datetime.datetime(2023, 11, 1, 10, 16, 57, tzinfo=tzutc()),
# 'size': 312237170,
# 'name': 'bucket_name/path/validation.parquet',
# 'type': 'file',
# 'StorageClass': 'STANDARD',
# 'VersionId': 'Abc.HtmsC9h.as',
# 'ContentType': 'binary/octet-stream'}
```

```python
fs.storage_options
# Returns:
# {'session': <aiobotocore.session.AioSession at 0x7f9193fa53c0>}
```

```python
ds = load_dataset("parquet", data_files={"train": DATA_PATH}, storage_options=fs.storage_options)
```

<details>
  <summary>Returns such error (expandable)</summary>
  
```python
  ---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
Cell In[88], line 1
----> 1 ds = load_dataset("parquet", data_files={"train": DATA_PATH}, storage_options=fs.storage_options)

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/load.py:2153, in load_dataset(path, name, data_dir, data_files, split, cache_dir, features, download_config, download_mode, verification_mode, ignore_verifications, keep_in_memory, save_infos, revision, token, use_auth_token, task, streaming, num_proc, storage_options, **config_kwargs)
   2150 try_from_hf_gcs = path not in _PACKAGED_DATASETS_MODULES
   2152 # Download and prepare data
-> 2153 builder_instance.download_and_prepare(
   2154     download_config=download_config,
   2155     download_mode=download_mode,
   2156     verification_mode=verification_mode,
   2157     try_from_hf_gcs=try_from_hf_gcs,
   2158     num_proc=num_proc,
   2159     storage_options=storage_options,
   2160 )
   2162 # Build dataset for splits
   2163 keep_in_memory = (
   2164     keep_in_memory if keep_in_memory is not None else is_small_dataset(builder_instance.info.dataset_size)
   2165 )

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/builder.py:954, in DatasetBuilder.download_and_prepare(self, output_dir, download_config, download_mode, verification_mode, ignore_verifications, try_from_hf_gcs, dl_manager, base_path, use_auth_token, file_format, max_shard_size, num_proc, storage_options, **download_and_prepare_kwargs)
    952     if num_proc is not None:
    953         prepare_split_kwargs["num_proc"] = num_proc
--> 954     self._download_and_prepare(
    955         dl_manager=dl_manager,
    956         verification_mode=verification_mode,
    957         **prepare_split_kwargs,
    958         **download_and_prepare_kwargs,
    959     )
    960 # Sync info
    961 self.info.dataset_size = sum(split.num_bytes for split in self.info.splits.values())

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/builder.py:1027, in DatasetBuilder._download_and_prepare(self, dl_manager, verification_mode, **prepare_split_kwargs)
   1025 split_dict = SplitDict(dataset_name=self.dataset_name)
   1026 split_generators_kwargs = self._make_split_generators_kwargs(prepare_split_kwargs)
-> 1027 split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
   1029 # Checksums verification
   1030 if verification_mode == VerificationMode.ALL_CHECKS and dl_manager.record_checksums:

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/packaged_modules/parquet/parquet.py:34, in Parquet._split_generators(self, dl_manager)
     32 if not self.config.data_files:
     33     raise ValueError(f"At least one data file must be specified, but got data_files={self.config.data_files}")
---> 34 data_files = dl_manager.download_and_extract(self.config.data_files)
     35 if isinstance(data_files, (str, list, tuple)):
     36     files = data_files

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/download/download_manager.py:565, in DownloadManager.download_and_extract(self, url_or_urls)
    549 def download_and_extract(self, url_or_urls):
    550     """Download and extract given `url_or_urls`.
    551 
    552     Is roughly equivalent to:
   (...)
    563         extracted_path(s): `str`, extracted paths of given URL(s).
    564     """
--> 565     return self.extract(self.download(url_or_urls))

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/download/download_manager.py:420, in DownloadManager.download(self, url_or_urls)
    401 def download(self, url_or_urls):
    402     """Download given URL(s).
    403 
    404     By default, only one process is used for download. Pass customized `download_config.num_proc` to change this behavior.
   (...)
    418     ```
    419     """
--> 420     download_config = self.download_config.copy()
    421     download_config.extract_compressed_file = False
    422     if download_config.download_desc is None:

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/download/download_config.py:94, in DownloadConfig.copy(self)
     93 def copy(self) -> "DownloadConfig":
---> 94     return self.__class__(**{k: copy.deepcopy(v) for k, v in self.__dict__.items()})

File ~/miniconda3/envs/test-env/lib/python3.10/site-packages/datasets/download/download_config.py:94, in <dictcomp>(.0)
     93 def copy(self) -> "DownloadConfig":
---> 94     return self.__class__(**{k: copy.deepcopy(v) for k, v in self.__dict__.items()})

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

    [... skipping similar frames: _deepcopy_dict at line 231 (2 times), deepcopy at line 146 (2 times)]

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

    [... skipping similar frames: deepcopy at line 146 (1 times)]

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:206, in _deepcopy_list(x, memo, deepcopy)
    204 append = y.append
    205 for a in x:
--> 206     append(deepcopy(a, memo))
    207 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:238, in _deepcopy_method(x, memo)
    237 def _deepcopy_method(x, memo): # Copy instance methods
--> 238     return type(x)(x.__func__, deepcopy(x.__self__, memo))

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

    [... skipping similar frames: _deepcopy_dict at line 231 (3 times), deepcopy at line 146 (3 times), deepcopy at line 172 (3 times), _reconstruct at line 271 (2 times)]

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

    [... skipping similar frames: _deepcopy_dict at line 231 (1 times), deepcopy at line 146 (1 times)]

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:265, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    263 if deep and args:
    264     args = (deepcopy(arg, memo) for arg in args)
--> 265 y = func(*args)
    266 if deep:
    267     memo[id(x)] = y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:264, in <genexpr>(.0)
    262 deep = memo is not None
    263 if deep and args:
--> 264     args = (deepcopy(arg, memo) for arg in args)
    265 y = func(*args)
    266 if deep:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:211, in _deepcopy_tuple(x, memo, deepcopy)
    210 def _deepcopy_tuple(x, memo, deepcopy=deepcopy):
--> 211     y = [deepcopy(a, memo) for a in x]
    212     # We're not going to put the tuple in the memo, but it's still important we
    213     # check for it, in case the tuple contains recursive mutable structures.
    214     try:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:211, in <listcomp>(.0)
    210 def _deepcopy_tuple(x, memo, deepcopy=deepcopy):
--> 211     y = [deepcopy(a, memo) for a in x]
    212     # We're not going to put the tuple in the memo, but it's still important we
    213     # check for it, in case the tuple contains recursive mutable structures.
    214     try:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:172, in deepcopy(x, memo, _nil)
    170                 y = x
    171             else:
--> 172                 y = _reconstruct(x, memo, *rv)
    174 # If is its own copy, don't memoize.
    175 if y is not x:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:271, in _reconstruct(x, memo, func, args, state, listiter, dictiter, deepcopy)
    269 if state is not None:
    270     if deep:
--> 271         state = deepcopy(state, memo)
    272     if hasattr(y, '__setstate__'):
    273         y.__setstate__(state)

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:211, in _deepcopy_tuple(x, memo, deepcopy)
    210 def _deepcopy_tuple(x, memo, deepcopy=deepcopy):
--> 211     y = [deepcopy(a, memo) for a in x]
    212     # We're not going to put the tuple in the memo, but it's still important we
    213     # check for it, in case the tuple contains recursive mutable structures.
    214     try:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:211, in <listcomp>(.0)
    210 def _deepcopy_tuple(x, memo, deepcopy=deepcopy):
--> 211     y = [deepcopy(a, memo) for a in x]
    212     # We're not going to put the tuple in the memo, but it's still important we
    213     # check for it, in case the tuple contains recursive mutable structures.
    214     try:

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:146, in deepcopy(x, memo, _nil)
    144 copier = _deepcopy_dispatch.get(cls)
    145 if copier is not None:
--> 146     y = copier(x, memo)
    147 else:
    148     if issubclass(cls, type):

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:231, in _deepcopy_dict(x, memo, deepcopy)
    229 memo[id(x)] = y
    230 for key, value in x.items():
--> 231     y[deepcopy(key, memo)] = deepcopy(value, memo)
    232 return y

File ~/miniconda3/envs/test-env/lib/python3.10/copy.py:161, in deepcopy(x, memo, _nil)
    159 reductor = getattr(x, "__reduce_ex__", None)
    160 if reductor is not None:
--> 161     rv = reductor(4)
    162 else:
    163     reductor = getattr(x, "__reduce__", None)

TypeError: cannot pickle '_contextvars.Context' object
```
</details>


### Expected behavior

If I choose to load the file from the public bucket with `anon=True` passed - everything works, so I expected loading from the private bucket to work as well

### Environment info

- `datasets` version: 2.14.6
- Platform: macOS-10.16-x86_64-i386-64bit
- Python version: 3.10.13
- Huggingface_hub version: 0.19.1
- PyArrow version: 14.0.1
- Pandas version: 1.5.3
- s3fs version: 2023.10.0
- fsspec version: 2023.10.0 
- aiobotocore version: 2.7.0

Comments:
I have encountered the same problem with `datasets-2.20.0`. 

I found the following workaround for this issue (including the fix from #6598):
1. specify the AWS profile name in the `storage_options` instead of passing an existing session object
2. use a custom `DownloadConfig` object to fix #6598
3. pass the `storage_options` to the `DownloadConfig`
```python
from datasets import load_dataset, DownloadConfig

# Fix for DownloadConfig from https://github.com/huggingface/datasets/issues/6598#issuecomment-1986699619
class ReviseDownloadConfig(DownloadConfig):
    def __post_init__(self, use_auth_token):
        if use_auth_token != "deprecated":
            warnings.warn(
                "'use_auth_token' was deprecated in favor of 'token' in version 2.14.0 and will be removed in 3.0.0.\n"
                f"You can remove this warning by passing 'token={use_auth_token}' instead.",
                FutureWarning,
            )
            self.token = use_auth_token

storage_options={"profile": "my-aws-profile-name"}

ds = load_dataset(
    "parquet", 
    data_files={"train": DATA_PATH}, 
    storage_options=storage_options,
    download_config=ReviseDownloadConfig(storage_options=storage_options)
)
```