Add AzureOpenAiAgent
# What does this PR do?

This PR adds an AzureOpenAiAgent, superceding #23355 since the contributor there does not seem to want to finish the PR.

Fixes #23324 
_The documentation is not available anymore as the PR was closed or merged._<|||||>The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/transformers/pr_24058). All of your documentation changes will be reflected on that endpoint.