Using Azure shouldn't be hard. easyaz makes it easier.
import azure.identity
import easyaz.openai
my_azure_openai_endpoint = 'https://someinstance.openai.azure.com'
creds = azure.identity.DefaultAzureCredential()
easyaz.openai.login(my_azure_openai_endpoint, credential=creds)
import openai
embeddings = openai.Embedding.create(deployment_id = '<some deployment id>', input="Simple, no?")
print(embeddings)