datasets.load_dataset() custom chaching directory bug
Thanks for reporting ! I'm looking into it.
Hello,
I'm having issue with loading a dataset with a custom `cache_dir`. Despite specifying the output dir, it is still downloaded to 
 `~/.cache`.

## Environment info
- `datasets` version: 1.1.3
- Platform: Linux-4.19.129-aufs-1-x86_64-with-debian-10.1
- Python version: 3.7.3

## The code I'm running:
```python
import datasets
from pathlib import Path

validation_dataset = datasets.load_dataset("natural_questions", split="validation[:5%]", cache_dir=Path("./data"))  
```

## The output:

* The dataset is downloaded to my home directory's `.cache` 
* A new empty directory named "`natural_questions` is created in the specified directory `.data`
* `tree data` in the shell outputs:
```
data
└── natural_questions
    └── default
        └── 0.0.2
3 directories, 0 files
```

The output:
```
Downloading: 8.61kB [00:00, 5.11MB/s]                                                                                                                                                                              
Downloading: 13.6kB [00:00, 7.89MB/s]                                                                                                                                                                              
Using custom data configuration default                                                                                                                                                                            
Downloading and preparing dataset natural_questions/default (download: 41.97 GiB, generated: 92.95 GiB, post-processed: Unknown size, total: 134.92 GiB) to ./data/natural_questions/default/0.0.2/867dbbaf9137c1b8
3ecb19f5eb80559e1002ea26e702c6b919cfa81a17a8c531...                                                                                                                                                                
Downloading: 100%|██████████████████████████████████████████████████| 13.6k/13.6k [00:00<00:00, 1.51MB/s]                                                                                                          
Downloading:   7%|███▎                                            | 6.70G/97.4G [03:46<1:37:05, 15.6MB/s]
```

## Expected behaviour:
The dataset "Natural Questions" should be downloaded to the directory "./data"
