Streaming local gzip compressed JSON line files is not working

## Describe the bug
Using streaming to iterate on local gzip compressed JSON files raise a file not exist error

## Steps to reproduce the bug
```python
from datasets import load_dataset

streamed_dataset = load_dataset('json', split='train', data_files=data_files, streaming=True)

next(iter(streamed_dataset))
```

## Actual results
```
FileNotFoundError                         Traceback (most recent call last)
<ipython-input-6-27a664e29784> in <module>
----> 1 next(iter(streamed_dataset))

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in __iter__(self)
    336 
    337     def __iter__(self):
--> 338         for key, example in self._iter():
    339             if self.features:
    340                 # we encode the example for ClassLabel feature types for example

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in _iter(self)
    333         else:
    334             ex_iterable = self._ex_iterable
--> 335         yield from ex_iterable
    336 
    337     def __iter__(self):

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in __iter__(self)
     76 
     77     def __iter__(self):
---> 78         for key, example in self.generate_examples_fn(**self.kwargs):
     79             yield key, example
     80 

~/Documents/GitHub/datasets/src/datasets/iterable_dataset.py in wrapper(**kwargs)
    282     def wrapper(**kwargs):
    283         python_formatter = PythonFormatter()
--> 284         for key, table in generate_tables_fn(**kwargs):
    285             batch = python_formatter.format_batch(table)
    286             for i, example in enumerate(_batch_to_examples(batch)):

~/Documents/GitHub/datasets/src/datasets/packaged_modules/json/json.py in _generate_tables(self, files, original_files)
     85                         file,
     86                         read_options=self.config.pa_read_options,
---> 87                         parse_options=self.config.pa_parse_options,
     88                     )
     89                 except pa.ArrowInvalid as err:

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/_json.pyx in pyarrow._json.read_json()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/_json.pyx in pyarrow._json._get_reader()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.get_input_stream()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.get_native_file()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.OSFile.__cinit__()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/io.pxi in pyarrow.lib.OSFile._open_readable()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/error.pxi in pyarrow.lib.pyarrow_internal_check_status()

~/miniconda2/envs/datasets/lib/python3.7/site-packages/pyarrow/error.pxi in pyarrow.lib.check_status()

FileNotFoundError: [Errno 2] Failed to open local file 'gzip://file-000000000000.json::/Users/thomwolf/github-dataset/file-000000000000.json.gz'. Detail: [errno 2] No such file or directory
```

## Environment info
- `datasets` version: 1.9.1.dev0
- Platform: Darwin-19.6.0-x86_64-i386-64bit
- Python version: 3.7.7
- PyArrow version: 1.0.0