Feature request : add leave=True to dataset.map to enable tqdm nested bars (and whilst we're at it couldn't we get a way to access directly tqdm underneath?) 
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@lhoestq, @albertvillanova can we have `**tqdm_kwargs` in `map`? If there are any fields that are important to our tqdm (like iterable or unit), we can pop them before initialising the tqdm object so as to avoid duplicity. Hi ! Sounds like a good idea :)

Also I think it would be better to have this as an actual parameters instead of kwargs to make it clearer
**A clear and concise description of what you want to happen.**

It would be so nice to be able to nest HuggingFace `Datasets.map() ` progress bars in the grander scheme of things and whilst we're at it why not other functions.

**Describe alternatives you've considered**

By the way is there not a way to directly interact with underlying tqdm module ? **kwargs-ish?

**Additional context**

Furthering tqdm integration #2374 and huggingface/transformers#11797 solutioned by huggingface/transformers#12226 provided with tqdm description as `desc=`

@sgugger @bhavitvyamalik
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