Fix openai proxy error (#5914)
Fixes proxy error.
Since openai does not parse proxy parameters and uses openai.proxy
directly, the proxy method needs to be modified.
https://github.com/openai/openai-python/blob/7610c5adfaebe3ffdb9927a551a741a3fab1b62e/openai/api_requestor.py#LL90
#### Who can review?
@hwchase17 - project lead
Models
- @hwchase17
- @agola11
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Co-authored-by: Harrison Chase <hw.chase.17@gmail.com>
