Tests are currently failing due to failing test fixtures: load_classification_data ,load_regression_data, etc.
Internally, this is using the scikit-learn "fetch" functions, which attempts to get the data from a local cache location, or the UCI university database, which might have changed its URLs.
Either way, this is failing, and should be decoupled from loading anything from the internet. This can be done by moving to the load functions, or replacing the actual data with synthetic data of the same size.