Issue: load_dataset for CSV files not working

Comment:
Hi @lhoestq, Below is the entire error message after I move both tsv files to the same directory. It's the same with I got before.
```
/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/torch/cuda/__init__.py:52: UserWarning: CUDA initialization: Found no NVIDIA driver on your system. Please check that you have an NVIDIA GPU and installed a driver from http://www.nvidia.com/Download/index.aspx (Triggered internally at  /pytorch/c10/cuda/CUDAFunctions.cpp:100.)
  return torch._C._cuda_getDeviceCount() > 0
08/29/2021 22:56:43 - WARNING - __main__ -   Process rank: -1, device: cpu, n_gpu: 0distributed training: False, 16-bits training: False
08/29/2021 22:56:43 - INFO - __main__ -   Training/evaluation parameters TrainingArguments(output_dir=/projectnb/media-framing/pred_result/label1/, overwrite_output_dir=True, do_train=True, do_eval=False, do_predict=True, evaluation_strategy=EvaluationStrategy.NO, prediction_loss_only=False, per_device_train_batch_size=8, per_device_eval_batch_size=8, gradient_accumulation_steps=1, eval_accumulation_steps=None, learning_rate=5e-05, weight_decay=0.0, adam_beta1=0.9, adam_beta2=0.999, adam_epsilon=1e-08, max_grad_norm=1.0, num_train_epochs=8.0, max_steps=-1, lr_scheduler_type=SchedulerType.LINEAR, warmup_steps=0, logging_dir=runs/Aug29_22-56-43_scc1, logging_first_step=False, logging_steps=500, save_steps=3000, save_total_limit=None, no_cuda=False, seed=42, fp16=False, fp16_opt_level=O1, fp16_backend=auto, local_rank=-1, tpu_num_cores=None, tpu_metrics_debug=False, debug=False, dataloader_drop_last=False, eval_steps=500, dataloader_num_workers=0, past_index=-1, run_name=/projectnb/media-framing/pred_result/label1/, disable_tqdm=False, remove_unused_columns=True, label_names=None, load_best_model_at_end=False, metric_for_best_model=None, greater_is_better=None, ignore_data_skip=False, sharded_ddp=False, deepspeed=None, label_smoothing_factor=0.0, adafactor=False, _n_gpu=0)
08/29/2021 22:56:43 - INFO - __main__ -   load a local file for train: /project/media-framing/transformer4/temp_train.tsv
08/29/2021 22:56:43 - INFO - __main__ -   load a local file for test: /project/media-framing/transformer4/temp_test.tsv
08/29/2021 22:56:43 - WARNING - datasets.builder -   Using custom data configuration default-df627c23ac0e98ec
Downloading and preparing dataset csv/default (download: Unknown size, generated: Unknown size, post-processed: Unknown size, total: Unknown size) to /usr4/cs542sp/hey1/.cache/huggingface/datasets/csv/default-df627c23ac0e98ec/0.0.0/9144e0a4e8435090117cea53e6c7537173ef2304525df4a077c435d8ee7828ff...
Traceback (most recent call last):
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/builder.py", line 693, in _download_and_prepare
    self._prepare_split(split_generator, **prepare_split_kwargs)
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/builder.py", line 1166, in _prepare_split
    num_examples, num_bytes = writer.finalize()
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/arrow_writer.py", line 428, in finalize
    self.stream.close()
  File "pyarrow/io.pxi", line 132, in pyarrow.lib.NativeFile.close
  File "pyarrow/error.pxi", line 99, in pyarrow.lib.check_status
OSError: error closing file

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "run_glue.py", line 487, in <module>
    main()
  File "run_glue.py", line 244, in main
    datasets = load_dataset("csv", data_files=data_files, delimiter="\t")
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/load.py", line 852, in load_dataset
    use_auth_token=use_auth_token,
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/builder.py", line 616, in download_and_prepare
    dl_manager=dl_manager, verify_infos=verify_infos, **download_and_prepare_kwargs
  File "/projectnb2/media-framing/env-trans4/lib/python3.7/site-packages/datasets/builder.py", line 699, in _download_and_prepare
    + str(e)
OSError: Cannot find data file. 
Original error:
error closing file
```