[FEATURE] Writing more examples under Azure

[JinL0]

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Is your feature request related to a problem? Please describe. A clear and concise description of what the problem is. Ex. I'm always frustrated when using OpenAI and AzureOpenAI. I saw in the https://github.com/openai/openai-cookbook/tree/main/examples, most examples are using OpenAI client. Can I add examples for AzureOpenAI?

Describe the solution you'd like I can add more examples using AzureOpenAI examples.

Additional context Let me know the accept criteria and if users think that is useful.