[ENH] rework data loader module, ability to specify download mirrors

[fkiraly]

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.

FYI @achieveordie, @hazrulakmal, as you have both recently worked on this module.

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.