Issue: Connection Error When Using By-pass Proxies
State: open

### Describe the bug

I'm currently using Clash for Windows as my proxy tunnel, after exporting HTTP_PROXY and HTTPS_PROXY to the port that clash provides🤔, it runs into a connection error saying "Couldn't reach https://raw.githubusercontent.com/huggingface/datasets/2.19.1/metrics/seqeval/seqeval.py (ConnectionError(MaxRetryError("HTTPSConnectionPool(host='raw.githubusercontent.com', port=443): Max retries exceeded with url: /huggingface/datasets/2.19.1/metrics/seqeval/seqeval.py (Caused by NewConnectionError('<urllib3.connection.HTTPSConnection object at 0x7f969d391870>: Failed to establish a new connection: [Errno 111] Connection refused'))")))"
I have already read the documentation provided on the hugginface, but I think I didn't see the detailed instruction on how to set up proxies for this library.

### Steps to reproduce the bug

1. Turn on any proxy software like Clash / ShadosocksR etc.
2. export system varibles to the port provided by your proxy software in wsl (It's ok for other applications to use proxy expect dataset-library)
3. load any dataset from hugginface online

### Expected behavior

---------------------------------------------------------------------------
ConnectionError                           Traceback (most recent call last)
Cell In[33], [line 3](vscode-notebook-cell:?execution_count=33&line=3)
      [1](vscode-notebook-cell:?execution_count=33&line=1) from datasets import load_metric
----> [3](vscode-notebook-cell:?execution_count=33&line=3) metric = load_metric("seqeval")

File ~/.local/lib/python3.10/site-packages/datasets/utils/deprecation_utils.py:46, in deprecated.<locals>.decorator.<locals>.wrapper(*args, **kwargs)
     [44](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/deprecation_utils.py:44)     warnings.warn(warning_msg, category=FutureWarning, stacklevel=2)
     [45](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/deprecation_utils.py:45)     _emitted_deprecation_warnings.add(func_hash)
---> [46](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/deprecation_utils.py:46) return deprecated_function(*args, **kwargs)

File ~/.local/lib/python3.10/site-packages/datasets/load.py:2104, in load_metric(path, config_name, process_id, num_process, cache_dir, experiment_id, keep_in_memory, download_config, download_mode, revision, trust_remote_code, **metric_init_kwargs)
   [2101](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2101) warnings.filterwarnings("ignore", message=".*https://huggingface.co/docs/evaluate$", category=FutureWarning)
   [2103](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2103) download_mode = DownloadMode(download_mode or DownloadMode.REUSE_DATASET_IF_EXISTS)
-> [2104](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2104) metric_module = metric_module_factory(
   [2105](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2105)     path,
   [2106](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2106)     revision=revision,
   [2107](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2107)     download_config=download_config,
   [2108](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2108)     download_mode=download_mode,
   [2109](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2109)     trust_remote_code=trust_remote_code,
   [2110](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2110) ).module_path
   [2111](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2111) metric_cls = import_main_class(metric_module, dataset=False)
   [2112](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2112) metric = metric_cls(
   [2113](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2113)     config_name=config_name,
   [2114](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/load.py:2114)     process_id=process_id,
...
--> [633](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/file_utils.py:633)     raise ConnectionError(f"Couldn't reach {url} ({repr(head_error)})")
    [634](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/file_utils.py:634) elif response is not None:
    [635](https://vscode-remote+wsl-002bubuntu-002d22-002e04.vscode-resource.vscode-cdn.net/home/noodle/Transformers-Tutorials/LayoutLMv3/~/.local/lib/python3.10/site-packages/datasets/utils/file_utils.py:635)     raise ConnectionError(f"Couldn't reach {url} (error {response.status_code})")

ConnectionError: Couldn't reach https://raw.githubusercontent.com/huggingface/datasets/2.19.1/metrics/seqeval/seqeval.py (SSLError(MaxRetryError("HTTPSConnectionPool(host='raw.githubusercontent.com', port=443): Max retries exceeded with url: /huggingface/datasets/2.19.1/metrics/seqeval/seqeval.py (Caused by SSLError(SSLEOFError(8, '[SSL: UNEXPECTED_EOF_WHILE_READING] EOF occurred in violation of protocol (_ssl.c:1007)')))")))

### Environment info

- `datasets` version: 2.19.1
- Platform: Linux-5.10.102.1-microsoft-standard-WSL2-x86_64-with-glibc2.35
- Python version: 3.10.12
- `huggingface_hub` version: 0.23.0
- PyArrow version: 16.0.0
- Pandas version: 2.2.2
- `fsspec` version: 2024.2.0

Changing the supplier of the proxy will solve this problem, or you can visit and follow the instructions in https://hf-mirror.com