[ENH] Coverage for datasets module

[TonyBagnall]

improve coverage for datasets. This excludes _data_loaders from codecov. This is because functions in this file

1. load a huge dataset in one go (download_all_regression)
2. Have back up options for tsc.com fail which are not easily testable.

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I have added the following labels to this PR based on the title: [ $\color{#FEF1BE}{\textsf{enhancement}}$ ].
I have added the following labels to this PR based on the changes made: [ $\color{#0B1D38}{\textsf{datasets}}$ ]. Feel free to change these if they do not properly represent the PR.

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