Fix save_to_disk with relative path
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As noticed in #1919 and #1920 the target directory was not created using `makedirs` so saving to it raises `FileNotFoundError`. For absolute paths it works but not for the good reason. This is because the target path was the same as the temporary path where in-memory data are written as an intermediary step.

I added the `makedirs` call using `fs.makedirs` in order to support remote filesystems.
I also fixed the issue with the target path being the temporary path.

I added a test case for relative paths as well for save_to_disk.

Thanks to @M-Salti for reporting and investigating
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