I've found this nice article on how to directly stream data from Google Storage to tf.data. This is super handy if your compute tier has limited storage (like on KNative in my case) and network bandwidth is sufficient (and free of charge anyway).
tfds.load(..., try_gcs=True)
Unfortunately, my data resides in a non Google bucket and it isn't documented for other Cloud Object Store systems.
Does anybody know if it also works in non GS environments?