Issue: coqa NonMatchingChecksumError

Comment:
I got the same error in a third environment (google cloud) as well. The internet for these three environments are all different so I don't think that's the reason.
```
- `datasets` version: 1.12.1
- Platform: Linux-5.11.0-1022-gcp-x86_64-with-glibc2.31
- Python version: 3.9.7
- PyArrow version: 6.0.0
```
I deleted the entire `~/.cache/huggingface/datasets` on my local mac, and got a different first time error.
```
Python 3.9.5 (default, May 18 2021, 12:31:01) 
[Clang 10.0.0 ] :: Anaconda, Inc. on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> from datasets import load_dataset
>>> dataset = load_dataset("coqa")
Downloading: 3.82kB [00:00, 1.19MB/s]                                                                                                                                                                                                                       
Downloading: 1.79kB [00:00, 712kB/s]                                                                                                                                                                                                                        
Using custom data configuration default
Downloading and preparing dataset coqa/default (download: 55.40 MiB, generated: 18.35 MiB, post-processed: Unknown size, total: 73.75 MiB) to /Users/zhaofengw/.cache/huggingface/datasets/coqa/default/1.0.0/553ce70bfdcd15ff4b5f4abc4fc2f37137139cde1f58f4f60384a53a327716f0...
Downloading: 100%|█████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 222/222 [00:00<00:00, 1.36MB/s]
 50%|████████████████████████████████████████████████████████████████████████████████████████████████████████████▌                                                                                                            | 1/2 [00:00<00:00,  2.47it/s]Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/load.py", line 1632, in load_dataset
    builder_instance.download_and_prepare(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/builder.py", line 607, in download_and_prepare
    self._download_and_prepare(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/builder.py", line 675, in _download_and_prepare
    split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
  File "/Users/zhaofengw/.cache/huggingface/modules/datasets_modules/datasets/coqa/553ce70bfdcd15ff4b5f4abc4fc2f37137139cde1f58f4f60384a53a327716f0/coqa.py", line 70, in _split_generators
    downloaded_files = dl_manager.download_and_extract(urls_to_download)
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/download_manager.py", line 284, in download_and_extract
    return self.extract(self.download(url_or_urls))
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/download_manager.py", line 196, in download
    downloaded_path_or_paths = map_nested(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/py_utils.py", line 216, in map_nested
    mapped = [
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/py_utils.py", line 217, in <listcomp>
    _single_map_nested((function, obj, types, None, True))
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/py_utils.py", line 152, in _single_map_nested
    return function(data_struct)
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/download_manager.py", line 217, in _download
    return cached_path(url_or_filename, download_config=download_config)
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/file_utils.py", line 295, in cached_path
    output_path = get_from_cache(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/file_utils.py", line 594, in get_from_cache
    raise ConnectionError("Couldn't reach {}".format(url))
ConnectionError: Couldn't reach https://nlp.stanford.edu/data/coqa/coqa-dev-v1.0.json
>>> dataset = load_dataset("coqa")
Using custom data configuration default
Downloading and preparing dataset coqa/default (download: 55.40 MiB, generated: 18.35 MiB, post-processed: Unknown size, total: 73.75 MiB) to /Users/zhaofengw/.cache/huggingface/datasets/coqa/default/1.0.0/553ce70bfdcd15ff4b5f4abc4fc2f37137139cde1f58f4f60384a53a327716f0...
Downloading: 100%|█████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 222/222 [00:00<00:00, 1.38MB/s]
100%|█████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 2/2 [00:00<00:00,  6.26it/s]
100%|███████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 2/2 [00:00<00:00, 1087.45it/s]
 50%|████████████████████████████████████████████████████████████████████████████████████████████████████████████▌                                                                                                            | 1/2 [00:45<00:45, 45.60s/it]
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/load.py", line 1632, in load_dataset
    builder_instance.download_and_prepare(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/builder.py", line 607, in download_and_prepare
    self._download_and_prepare(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/builder.py", line 679, in _download_and_prepare
    verify_checksums(
  File "/Users/zhaofengw/miniconda3/lib/python3.9/site-packages/datasets/utils/info_utils.py", line 40, in verify_checksums
    raise NonMatchingChecksumError(error_msg + str(bad_urls))
datasets.utils.info_utils.NonMatchingChecksumError: Checksums didn't match for dataset source files:
['https://nlp.stanford.edu/data/coqa/coqa-train-v1.0.json', 'https://nlp.stanford.edu/data/coqa/coqa-dev-v1.0.json']
```
I can access the URL using my browser, though I did notice a redirection -- could that have something to do with it?