[Feature] Add custom dataset and remove dependency on PyG

[THINK2TRY]

Description

1. Add customized dataset with register_dataset and specify a path of data
2. Remove dependency on PyG of stpgnn

Checklist

Please feel free to remove inapplicable items for your PR.

• The PR title starts with [$CATEGORY] (such as [Model], [Doc], [Feature], [Bugfix])
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• Code is well-documented
• To my best knowledge, examples are either not affected by this change,
  or have been fixed to be compatible with this change
• Related issue is referred in this PR