Azure OpenAI support

[davisuga]

Add Azure support by letting the user specify the endpoint and an "api-key" header.
https://learn.microsoft.com/en-us/azure/ai-services/openai/chatgpt-quickstart?tabs=bash%2Cpython&pivots=rest-api
I'm willing to make that change if no one is working on it.

[msiegenthaler]

That would be nice. Microsoft is such a pain for doing that