Issue: Support cloud storage in load_dataset

Comment:
@lhoestq sorry for being a little dense here but I am very keen to use fsspec / adlfs for for a larger image dataset I have for object detection. I have to keep it on Azure storage and would also like to avoid a full download or zipping (so use `load_dataset(..., streaming=True)`. So this development is godsend :) only... I am unable to make it work.

Would you expect the setup to work for:
- azure blob storage
- image files (not the standard formats `json`, `parquet`....

? I appreciate that you mostly focus on s3 but it seems that, similar to the [remaining cloud storage functionality](https://huggingface.co/docs/datasets/filesystems#cloud-storage), it should also work for Azure blob storage.


I would imagine that something like (Streaming true or false):
```python
d = load_dataset("new_dataset.py", storage_options=storage_options, split="train")
```
would work with 
```python
# new_dataset.py
....
_URL="abfs://container/image_folder``` 

archive_path = dl_manager.download(_URL)
split_metadata_paths = dl_manager.download(_METADATA_URLS)
return [
    datasets.SplitGenerator(
        name=datasets.Split.TRAIN,
        gen_kwargs={
            "annotation_file_path": split_metadata_paths["train"],
            "files": dl_manager.iter_files(archive_path)
},
      ),
...
```
but I get 
```
Traceback (most recent call last):
...        ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/load.py", line 1797, in load_dataset
    builder_instance.download_and_prepare(
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/builder.py", line 890, in download_and_prepare
    self._download_and_prepare(
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/builder.py", line 1649, in _download_and_prepare
    super()._download_and_prepare(
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/builder.py", line 963, in _download_and_prepare
    split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
                       ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "~/.cache/huggingface/modules/datasets_modules/datasets/new_dataset/dd26a081eab90074f41fa2c821b458424fde393cc73d3d8241aca956d1fb3aa0/new_dataset_script.py", line 56, in _split_generators
    archive_path = dl_manager.download(_URL)
                   ^^^^^^^^^^^^^^^^^^^^^^^^^
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/download/download_manager.py", line 427, in download
    downloaded_path_or_paths = map_nested(
                               ^^^^^^^^^^^
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/utils/py_utils.py", line 435, in map_nested
    return function(data_struct)
           ^^^^^^^^^^^^^^^^^^^^^
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/download/download_manager.py", line 453, in _download
    return cached_path(url_or_filename, download_config=download_config)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "~/miniconda3/envs/hf/lib/python3.11/site-packages/datasets/utils/file_utils.py", line 206, in cached_path
    raise ValueError(f"unable to parse {url_or_filename} as a URL or as a local path")
ValueError: unable to parse abfs://container/image_folder as a URL or as a local path

```