In our case, the Azure OpenAI API's are published to the Azure APIM API gateway so the only way to call the Azure openAI api's is to call a custom endpoint on a custom domain. To call the api's exposed on the api gateway we have to pass the following:
HTTP header - subscriber-application-key
User access Token (JWT token)

Note that this is not an onprem proxy, the Azure open AI api's are published on the API gateway to apply extra controls. We do not get Azure OpenAI key to pass. Only the subscriber application key