test: added multi-round tests for azure_openai_model

[Rkejji]

Description

Added unit test to test_azure_open_ai_model while mocking API calls to the real openai API.

Motivation and Context

This PR is related to this issue #1513

• I have raised an issue to propose this change (required for new features and bug fixes)

Types of changes

What types of changes does your code introduce? Put an x in all the boxes that apply:

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds core functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation (update in the documentation)
• Example (update in the folder of example)

Implemented Tasks

• Subtask 1
• Subtask 2
• Subtask 3

Checklist

Go over all the following points, and put an x in all the boxes that apply.
If you are unsure about any of these, don't hesitate to ask. We are here to help!

• I have read the CONTRIBUTION guide. (required)
• My change requires a change to the documentation.
• I have updated the tests accordingly. (required for a bug fix or a new feature)
• I have updated the documentation accordingly.

[Wendong-Fan]

Hey @Rkejji , sorry for the late review, it looks great! Thanks for the contribution!

[Rkejji]

@Wendong-Fan please use this PR instead #1550
It will contain all the unit tests for the models not only the azure_openai_model