Prefetch data that are problematic and causing docs build failure

[Czaki]

References and relevant issues

closes #1089

Description

This PR adds a step of prefetching fragile data required during the build of docs. It does not prevent docs build from failing, but it should happen in the first minute.

So it should be easier to understand why docs build fails and use less CI time.

The next step might be to use this script to download data from an alternative location and put it in the expected place.

[jni]

@Czaki what about adding the download dirs to the actions cache so that they don't need to be re-downloaded?

[Czaki]

@Czaki what about adding the download dirs to the actions cache so that they don't need to be re-downloaded?

Is there a reason to keep it outside the default Pooch cache directory?