Convert non-str column names to str when creating a dataset.

[PGijsbers]

Do I add a regression test?

[mfeurer]

Yes, a test (using for example the minimal failing example) would be great.

[codecov-io]

Codecov Report

Merging #851 into develop will increase coverage by 0.49%.
The diff coverage is 100%.

@@ Coverage Diff @@## develop #851 +/- ##
===========================================
+ Coverage 88.41% 88.91% +0.49% 
===========================================
Files 37 37 Lines 4271 4716 +445 ===========================================
+ Hits 3776 4193 +417 - Misses 495 523 +28

Impacted Files	Coverage Δ
openml/datasets/functions.py	94.11% <100%> (+0.05%)	⬆️
openml/_api_calls.py	82.14% <0%> (-1.2%)	⬇️
openml/base.py	90% <0%> (-0.39%)	⬇️
openml/runs/run.py	87.78% <0%> (-0.25%)	⬇️
openml/flows/flow.py	93.77% <0%> (+0.67%)	⬆️
openml/utils.py	91.84% <0%> (+0.93%)	⬆️
openml/datasets/dataset.py	90.26% <0%> (+3.05%)	⬆️
openml/tasks/task.py	87.01% <0%> (+3.12%)	⬆️
openml/study/study.py	78.7% <0%> (+6.2%)	⬆️

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