Support azure authentication with managed identity

[MathiasGruber]

Feature Description

Currently azure provider works with API keys, however, in our organization it is encouraged and enforced that we only use managed identity for auth against azure services (https://learn.microsoft.com/en-us/azure/ai-services/openai/reference#authentication).

Implementing this type of auth would be a requirement for us to be able to use this library, would it be possible to add it?

Use Case

Corporate environments with strict guidelines on security protocols to be followed.

Additional context

i.e. currently we do something like this with the openai library:

export const client = new OpenAIClient(
  env.OPENAI_API_BASE_URL,
  new DefaultAzureCredential(),
);

[ShervK]

Mind if I take a crack at this, @lgrammel? We use Azure OpenAI and have managed identity already set up so I can use our existing infrastructure for testing.

[ShervK]

@lgrammel submitted a PR for this and waiting for review.