Problem
The sample data is not in the wheels installed by PyPi and the instructions at https://matplotlib.org/users/installing.html#test-data are to grab the data manually.
Solution
There’s a matplotlib maintained sample_data package in conda forge that should at the least be mentioned on that page:
conda install -c conda-forge mpl_sample_data
Maybe also in the examples that use it? I went through some stackoverflowing about this earlier today when copy pasting the https://matplotlib.org/3.3.0/gallery/subplots_axes_and_figures/zoom_inset_axes.html#sphx-glr-gallery-subplots-axes-and-figures-zoom-inset-axes-py resulted in an error