add local state dict option (#15759)
### Description
Adds an option to load local state dictionary for whisper model export.
### Motivation and Context
This is useful to demonstrate workflow of using ORT Training to get
model weights, downloading said weights onto a local gpu-enabled device,
exporting the custom model using `convert_to_onnx.py`, and then nicely
feeding the .onnx file into ORT InferenceSession.
