@Muhammad Shuja Welcome to Microsoft Q&A Forum, Thank you for posting your query here!
You cannot update the url references from Azure Open AI response. Also you cannot remove the reference links now. You can try to customize the experience with the web app to some extent though.
https://learn.microsoft.com/en-us/azure/ai-services/openai/concepts/use-your-data#web-app-customization
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If you are NOT using the Microsoft webapp chatbot code and using a third party webapp/custom developed webapp project using the Azure OpenAI Service APIs directly, then you have significant freedom in how you choose to present the root message and citations information. A quickstart sample which shows a rudimentary example of that is here.
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Hope this helps. If you have any follow-up questions, please let me know. I would be happy to help.