mne-python: Sample data set cannot be downloaded if data folder does not exist

The default location for MNE sample data is ~/mne_data. Apparently, if this folder does not exist the data set cannot be downloaded:

# make sure the folder "~/mne_data" does not exist!
import mne
from mne.datasets import sample


data_path = sample.data_path()
raw_fname = data_path + '/MEG/sample/sample_audvis_filt-0-40_raw.fif'

raw = mne.io.read_raw_fif(raw_fname)

I get the following error:

Downloading archive MNE-sample-data-processed.tar.gz to /Users/clemens/mne_data
Downloading https://files.osf.io/v1/resources/rxvq7/providers/osfstorage/59c0e26f9ad5a1025c4ab159?version=5&action=download&direct (1.54 GB)
  0%|          | Downloading : 0.00/1.54G [00:00<?,        ?B/s]Error while fetching file https://osf.io/86qa2/download?version=5. Dataset fetching aborted.
Traceback (most recent call last):
  File "/usr/local/lib/python3.9/site-packages/IPython/core/interactiveshell.py", line 3418, in run_code
    exec(code_obj, self.user_global_ns, self.user_ns)
  File "<ipython-input-2-9a4a5c6c7639>", line 1, in <module>
    runfile('/Users/clemens/Library/Application Support/JetBrains/PyCharm2020.3/scratches/scratch.py', wdir='/Users/clemens/Library/Application Support/JetBrains/PyCharm2020.3/scratches')
  File "/Applications/PyCharm.app/Contents/plugins/python/helpers/pydev/_pydev_bundle/pydev_umd.py", line 197, in runfile
    pydev_imports.execfile(filename, global_vars, local_vars)  # execute the script
  File "/Applications/PyCharm.app/Contents/plugins/python/helpers/pydev/_pydev_imps/_pydev_execfile.py", line 18, in execfile
    exec(compile(contents+"\n", file, 'exec'), glob, loc)
  File "/Users/clemens/Library/Application Support/JetBrains/PyCharm2020.3/scratches/scratch.py", line 5, in <module>
    data_path = sample.data_path()
  File "<decorator-gen-461>", line 24, in data_path
  File "/Users/clemens/Repositories/mne-python/mne/datasets/sample/sample.py", line 19, in data_path
    return _data_path(path=path, force_update=force_update,
  File "/Users/clemens/Repositories/mne-python/mne/datasets/utils.py", line 418, in _data_path
    remove_archive, full = _download(path, u, an, h)
  File "/Users/clemens/Repositories/mne-python/mne/datasets/utils.py", line 475, in _download
    _fetch_file(url, full_name, print_destination=False,
  File "<decorator-gen-3>", line 24, in _fetch_file
  File "/Users/clemens/Repositories/mne-python/mne/utils/fetching.py", line 117, in _fetch_file
    _get_http(url, temp_file_name, initial_size, timeout, verbose_bool)
  File "/Users/clemens/Repositories/mne-python/mne/utils/fetching.py", line 55, in _get_http
    with open(temp_file_name, mode) as local_file:
FileNotFoundError: [Errno 2] No such file or directory: '/Users/clemens/mne_data/MNE-sample-data-processed.tar.gz.part'

Everything works as expected if the folder ~/mne_data exists (even if it is just an empty folder). We should automatically create this folder if not present to prevent this error.