The Azure OpenAI request call alone may not meet your needs. However, you can leverage function calling or explore frameworks like LangChain or Semantic Kernel to integrate additional knowledge from other sources.
Check out the links below for more details:
https://learn.microsoft.com/en-us/azure/ai-services/openai/how-to/function-calling
https://learn.microsoft.com/en-us/semantic-kernel/overview/