Yes, it is possible to build a chatbot using Azure OpenAI and Cognitive Search that could directly index large volume of documents from a SharePoint repository. However, it would require some additional steps to set up the integration between SharePoint and Cognitive Search.
You may refer to detailed blog and this video would be helpful-
Keep in mind that there are some considerations when using the SharePoint indexer with Cognitive Search, such as the fact that indexing SharePoint .ASPX site content is not supported and that the SharePoint indexer does not pull document-level authorization into the search index.
You can find more information on these considerations in the documentation for the SharePoint indexer- https://learn.microsoft.com/en-us/azure/search/search-howto-index-sharepoint-online
Please let us know if further query or issue remains.