[FEATURE] Support Azure OpenAI as LLM provider

[georgeh0]

Currently we support OpenAI API but not support Azure OpenAI yet, which needs special configs.

We want to support Azure OpenAI as a separate provider.

The code will be similar to other providers providing (like LiteLLM, see related code for reference).

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[1fanwang]

would love to take this up as a first time contributor if no one else is already working on it, thanks

[georgeh0]

@1fanwang thanks for taking this! Assigned.