Add azure openai

[algorithmlover2016]

Pull Request Checklist

• Description: Briefly describe the changes in this pull request.
• Changelog: Ensure a changelog entry following the format of Keep a Changelog is added at the bottom of the PR description.
• Documentation: Have you updated relevant documentation?
• Dependencies: Are there any new dependencies? Have you updated the dependency versions in the documentation?

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Description

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[Micahelb]

@algorithmlover2016

have you tested this changes to add Azure Open AI? Have they worked for you?

[algorithmlover2016]

Yeah, I test it by myself, But now I think it's better to use litlellm to support azure openai, not by my way. It's a little complex and stupid.

[frandominguezl]

Hi @algorithmlover2016, I was following your solution and was also thinking about opening a new PR given that yours was still in draft. Could you please elaborate further on why do you think it's complex to add Azure OpenAI support?