Consider merging a few multimodal datasets into Mudata objects

[Zethson]

Description of feature

We currently have a few from scperturb that are single Anndata objects of modalities. Let's simplify this and create Mudata objects for these wherever possible/reasonable

[Zethson]

@namsaraeva don't start this one before talking to me. There are likely new versions of the datasets because scperturb got published

[Zethson]

Closing this as we'll do it with pertpy-datasets