@Bushra Khan Welcome to Microsoft Q&A Forum, Thank you for posting your query here!
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Please note that adding a data source in Azure OpenAI Studio Chat playground and training the model using it is a manual process.
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However, if you wish to use the REST API way to perform Adding your own data
in Azure Open AI, you can follow this documentation:
https://learn.microsoft.com/en-us/azure/ai-services/openai/references/on-your-data?tabs=rest
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Hope this helps.