Added saving to custom dir in PPLM train
Just an option to save the model to other than the working directory.

Default functionality hasn't changed.
The CI was a dependency glitch that was fixed on master since, you can rebase on master if you want it to go away.<|||||># [Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@cb13c8a`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/huggingface/transformers/pull/2579/graphs/tree.svg?width=650&token=9qOlN6Hb1c&height=150&src=pr)](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master    #2579   +/-   ##
=========================================
  Coverage          ?   74.61%           
=========================================
  Files             ?       87           
  Lines             ?    14802           
  Branches          ?        0           
=========================================
  Hits              ?    11044           
  Misses            ?     3758           
  Partials          ?        0
```



------

[Continue to review full report at Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=footer). Last update [cb13c8a...36339e7](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
<|||||># [Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@cb13c8a`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/huggingface/transformers/pull/2579/graphs/tree.svg?width=650&token=9qOlN6Hb1c&height=150&src=pr)](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master    #2579   +/-   ##
=========================================
  Coverage          ?   74.61%           
=========================================
  Files             ?       87           
  Lines             ?    14802           
  Branches          ?        0           
=========================================
  Hits              ?    11044           
  Misses            ?     3758           
  Partials          ?        0
```



------

[Continue to review full report at Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=footer). Last update [cb13c8a...36339e7](https://codecov.io/gh/huggingface/transformers/pull/2579?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
<|||||>@julien-c I'll just do a new PR.