dummy data testing can't test datasets using `dl_manager.extract` in `_split_generators`
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['Hi :) \r\nIn your dummy data zip file you can just have `subset000.xz` as directories instead of compressed files.\r\nLet me know if it helps'
 "Thanks for your comment @lhoestq ,\r\nJust for confirmation, changing dummy data like this won't make dummy test test the functionality to extract `subsetxxx.xz` but actually kind of circumvent it. But since we will test the real data so it is ok ?"
 "Yes it's fine for now. We plan to add a job for slow tests.\r\nAnd at one point we'll also do another pass on the dummy data handling and consider extracting files."
 'Thanks for the confirmation.\r\nAlso the suggestion works. Thank you.']
Hi, I recently want to add a dataset whose source data is like this
```
openwebtext.tar.xz
  |__ openwebtext
         |__subset000.xz
         |     |__ ....txt
         |     |__ ....txt
         |     ...
         |__ subset001.xz
         |
         ....
```
So I wrote `openwebtext.py` like this
```
 def _split_generators(self, dl_manager):
        dl_dir = dl_manager.download_and_extract(_URL)
        owt_dir = os.path.join(dl_dir, 'openwebtext')
        subset_xzs = [
            os.path.join(owt_dir, file_name) for file_name in os.listdir(owt_dir) if file_name.endswith('xz') # filter out ...xz.lock
        ]
        ex_dirs = dl_manager.extract(subset_xzs, num_proc=round(os.cpu_count()*0.75))
        nested_txt_files = [ 
          [ 
            os.path.join(ex_dir,txt_file_name) for txt_file_name in os.listdir(ex_dir) if txt_file_name.endswith('txt')
          ] for ex_dir in ex_dirs
        ]
        txt_files = chain(*nested_txt_files)
        return [
            datasets.SplitGenerator(
                name=datasets.Split.TRAIN, gen_kwargs={"txt_files": txt_files}
            ),
        ]
```
All went good, I can load and use real openwebtext, except when I try to test with dummy data. The problem is  `MockDownloadManager.extract` do nothing, so `ex_dirs = dl_manager.extract(subset_xzs)` won't decompress `subset_xxx.xz`s for me.

How should I do ? Or you can modify `MockDownloadManager` to make it like a real `DownloadManager` ?
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