feature: Support EntraID Authentication for Azure

[gfvioli]

Feature request

Have the option to authenticate using Azure EntraID (Managed Identities) to connect to an endpoint.

Motivation

Currently, it looks like you can only authenticate using API keys, however when in a work setting sometimes API Keys is not an option. Currently I have my Azure Open AI endpoint provided by my employer but I can't access the API keys for that endpoint as Managed Identities are preferred way of authentication.

Other

I would love to contribute to this feature, I might just need some guidance on it.