Move datasets local to repo and remove HTTP.jl dependency

[jd-foster]

Starts the process of being able to better manage the documentation examples by implementing some intermediate fixes to enable the documentation build.

[codecov-commenter]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 51.81%. Comparing base (40caf9c) to head (0fdfd34).
⚠️ Report is 13 commits behind head on master.

Additional details and impacted files

@@             Coverage Diff             @@
##           master     #508       +/-   ##
===========================================
+ Coverage   28.67%   51.81%   +23.13%     
===========================================
  Files           8        8               
  Lines         265      276       +11     
===========================================
+ Hits           76      143       +67     
+ Misses        189      133       -56     

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[jd-foster]

The CI failure is the on-going macOS and Kaleido issue, but docs work.