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[ENH] rework data loader module, ability to specify download mirrors (#…
…4985) This PR reworks the somewhat messy data loader module, and adds an ability to specify download mirrors for remote datasets. This is towards #4754 but does create a framework for arbitrary data loader mirrors - I focused mainly on enabling the mirroring/fallback feature for existing loaders, rather than a framework level refactor. A refactor would also include the forecasting data loader and factor out more of the repetitive code in functions. In terms of addressing #4754, it should now be easy to add an arbitrary number of mirrors to prevent a blowout failure to users if the UEA data repository decides to abruptly change folder structure again without deprecation or warning.
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