Add possibility to set a proxy for openai API access

[ymaurer]

Feature request

For a deployment behind a corporate proxy, it's useful to be able to access the API by specifying an explicit proxy.

Motivation

Currently it's possible to do this by setting the environment variables http_proxy / https_proxy to set a proxy for the whole python interpreter. However this then prevents access to other internal servers. accessing other network resources (e.g. a vector database on a different server, corporate S3 storage etc.) should not go through the proxy. So it's important to be able to just proxy requests for externally hosted APIs. We are working with the OpenAI API and currently we cannot both access those and our qdrant database on another server.

Your contribution

Since the openai python package supports the proxy parameter, this is relatively easy to implement for the OpenAI API. I'll submit a PR.