DataLoader doesn't accept non-cpu device for loading. 
Labels: module: dataloader, triaged

### 🐛 Describe the bug

Not sure if this is intentional but a DataLoader does not accept a non-cpu device despite tensors living somewhere else. 
[Example of a few months of a big issue that allows you to pass in `cuda` Generator to the dataloader.](https://discuss.pytorch.org/t/runtimeerror-expected-a-cuda-device-type-for-generator-but-found-cpu/161463)

```python 
from torch.utils.data import DataLoader, TensorDataset, RandomSampler
device= torch.device("cuda")
x, y = torch.tensor([1,2,3], device=device), torch.tensor([1,2,3], device=device)
dataset = TensorDataset(x,y)
next(iter(DataLoader(dataset, generator=torch.Generator(device))))  # RuntimeError: Expected a 'cpu' device type for generator but found 'cuda'
```

### Versions

Collecting environment information...
PyTorch version: 2.0.0
Is debug build: False
CUDA used to build PyTorch: None
ROCM used to build PyTorch: N/A

OS: macOS 13.0 (x86_64)
GCC version: Could not collect
Clang version: 14.0.0 (clang-1400.0.29.102)
CMake version: Could not collect
Libc version: N/A

Python version: 3.11.0 | packaged by conda-forge | (main, Jan 15 2023, 05:44:48) [Clang 14.0.6 ] (64-bit runtime)
Python platform: macOS-13.0-x86_64-i386-64bit
Is CUDA available: False
CUDA runtime version: No CUDA
CUDA_MODULE_LOADING set to: N/A
GPU models and configuration: No CUDA
Nvidia driver version: No CUDA
cuDNN version: No CUDA
HIP runtime version: N/A
MIOpen runtime version: N/A
Is XNNPACK available: True

CPU:
Apple M1 Pro

Versions of relevant libraries:
[pip3] mypy-extensions==1.0.0
[pip3] numpy==1.24.2
[pip3] torch==2.0.0
[pip3] torchvision==0.15.1
[conda] mkl                       2022.2.1         h44ed08c_16952    conda-forge
[conda] numpy                     1.24.2          py311ha9d2c9f_0    conda-forge
[conda] torch                     2.0.0                    pypi_0    pypi
[conda] torchvision               0.15.1                   pypi_0    pypi

And for google colab:

Collecting environment information...
PyTorch version: 2.0.0+cu117
Is debug build: False
CUDA used to build PyTorch: 11.7
ROCM used to build PyTorch: N/A

OS: Ubuntu 20.04.5 LTS (x86_64)
GCC version: (Ubuntu 9.4.0-1ubuntu1~20.04.1) 9.4.0
Clang version: 10.0.0-4ubuntu1 
CMake version: version 3.26.3
Libc version: glibc-2.31

Python version: 3.11.3 (main, Apr  5 2023, 14:15:06) [GCC 9.4.0] (64-bit runtime)
Python platform: Linux-5.10.147+-x86_64-with-glibc2.31
Is CUDA available: True
CUDA runtime version: 11.8.89
CUDA_MODULE_LOADING set to: LAZY
GPU models and configuration: GPU 0: Tesla T4
Nvidia driver version: 525.85.12
cuDNN version: Probably one of the following:
/usr/lib/x86_64-linux-gnu/libcudnn.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_adv_infer.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_adv_train.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_cnn_infer.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_cnn_train.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_ops_infer.so.8.7.0
/usr/lib/x86_64-linux-gnu/libcudnn_ops_train.so.8.7.0
HIP runtime version: N/A
MIOpen runtime version: N/A
Is XNNPACK available: True

CPU:
Architecture:                    x86_64
CPU op-mode(s):                  32-bit, 64-bit
Byte Order:                      Little Endian
Address sizes:                   46 bits physical, 48 bits virtual
CPU(s):                          2
On-line CPU(s) list:             0,1
Thread(s) per core:              2
Core(s) per socket:              1
Socket(s):                       1
NUMA node(s):                    1
Vendor ID:                       GenuineIntel
CPU family:                      6
Model:                           79
Model name:                      Intel(R) Xeon(R) CPU @ 2.20GHz
Stepping:                        0
CPU MHz:                         2199.998
BogoMIPS:                        4399.99
Hypervisor vendor:               KVM
Virtualization type:             full
L1d cache:                       32 KiB
L1i cache:                       32 KiB
L2 cache:                        256 KiB
L3 cache:                        55 MiB
NUMA node0 CPU(s):               0,1
Vulnerability Itlb multihit:     Not affected
Vulnerability L1tf:              Mitigation; PTE Inversion
Vulnerability Mds:               Vulnerable; SMT Host state unknown
Vulnerability Meltdown:          Vulnerable
Vulnerability Mmio stale data:   Vulnerable
Vulnerability Retbleed:          Vulnerable
Vulnerability Spec store bypass: Vulnerable
Vulnerability Spectre v1:        Vulnerable: __user pointer sanitization and usercopy barriers only; no swapgs barriers
Vulnerability Spectre v2:        Vulnerable, IBPB: disabled, STIBP: disabled, PBRSB-eIBRS: Not affected
Vulnerability Srbds:             Not affected
Vulnerability Tsx async abort:   Vulnerable
Flags:                           fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush mmx fxsr sse sse2 ss ht syscall nx pdpe1gb rdtscp lm constant_tsc rep_good nopl xtopology nonstop_tsc cpuid tsc_known_freq pni pclmulqdq ssse3 fma cx16 pcid sse4_1 sse4_2 x2apic movbe popcnt aes xsave avx f16c rdrand hypervisor lahf_lm abm 3dnowprefetch invpcid_single ssbd ibrs ibpb stibp fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm rdseed adx smap xsaveopt arat md_clear arch_capabilities

Versions of relevant libraries:
[pip3] numpy==1.24.2
[pip3] torch==2.0.0
[pip3] torchvision==0.15.1
[pip3] triton==2.0.0
[conda] Could not collect



cc @SsnL @VitalyFedyunin @ejguan @NivekT @dzhulgakov