Fix for Building docs without internet error

Just a more graceful error message for when building the docs without internet access,
as discussed in #1642

Here's the error message now 
```

dumping search index... done
dumping object inventory... done
build succeeded, 24 warnings.
Embedding documentation hyperlinks in examples..

...
Warning: Embedding the documentation hyperlinks requires internet access.
Please check your network connection.
Unable to continue embedding due to a URL Error: 

(gaierror(-2, 'Name or service not known'),)
[done]

Build finished. The HTML pages are in _build/html.
```

Let me know if you have better wording for the message :)