Fix merge remote index + Pyright Issue Exp

[XiaohanZhangCMU]

Hey 👋 ,

I was trying to use merge_index with a remote folder following this structure :

s3://my_bucket
└───mds_1
│   │   index.json
└───mds_2
    │   index.json

I was calling it like this: merge_index("s3://my_bucket"), but it kept failing. After some digging, I realized that it was attempting to download s3//my_bucket/mds_1/index.json (missing the ":").

The fix involves simply adding a colon ':' here - it might not be obvious, as I had to move some code to add a test.

Thanks!

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