Hello @Mohan Shekhar Reddy K
In your case there are some steps to start
Create a VPN Gateway , Site to SIte with On Premises
Read here :
Activate Private Endpoint on OPEN AI and select specific networks to Access the Service from Azure Portal
Read here :
https://learn.microsoft.com/en-us/azure/ai-services/cognitive-services-virtual-networks?tabs=portal
I hope this helps!
Kindly mark the answer as Accepted and Upvote in case it helped!
Regards