Hi Vijay Gawte,
You grant access to trusted services on both ai search and open ai.
In openai

and in search service.

Next, enable managed identity in azure openai and assign
Search Service Contributor role to it, because
When you send API calls to chat with an Azure OpenAI model on your data, the service needs to retrieve the index fields during inference to perform fields mapping. Therefore the service requires the Azure OpenAI identity to have the
Search Service Contributorrole for the search service even during inference.
Check this documentation.
Enable system managed identity.

and role assignments

Then you make chat completion with authentication type to search service like below.
"data_sources": [
{
"type": "azure_search",
"parameters": {
"endpoint": search_endpoint,
"index_name": search_index,
"authentication": {
"type": "system_assigned_managed_identity"
}
}
}
]
UPDATE
According to this documentation to use the vector search without api key and public access disabled, use below embedding dependency in data source.
"embedding_dependency": {
"type": "deployment_name",
"deployment_name":"text-embedding-ada-002" #Your embedding deployment name
}
Hope above steps helps to solve your issue. Please don't forget accept the answer and give feedback by clicking on yes.
Thank you

