@Syedbabar Ali The Azure OpenAI on your Data feature is built upon the Retrieval Augmented Generation pattern which essentially enhances the prompt sent to the underlying LLM model which can use the data provided in the prompt to respond with relevance and knowledge of your data.
But this is not training of the model itself, instead the data is indexed in a vector database (Azure Cognitive Search in the case of Azure OpenAI Service) and is searched for with the user prompt, results of which are sent in the prompt to the LLM used for generation.