You can use your own OpenAI API keys in Clay by adding them through Settings > Connections or when setting up enrichments. When you use your own API key, you won't consume Clay credits and will be charged directly through your OpenAI account instead.
However, Azure OpenAI credits specifically aren't mentioned in our documentation. You'd need to check if your Azure OpenAI setup provides standard OpenAI API keys that can be used with third-party platforms like Clay.