Add ability to pass custom headers to OpenAI provider.

[venkat22]

It would be great to have support for passing custom headers when making requests to the OpenAI API. This would allow for more advanced use cases, such as custom authentication, tracking, or beta features.
Is it possible to expose an option or configuration parameter so that users can set additional HTTP headers for OpenAI API requests?

[GregBrimble]

I've put a PR up here: #1439