Define custom headers using .NET 6 OpenAI SDK

(!) Disclaimer: This is merely a solution to the initial requirement of adding custom headers. I am not knowledgeable enough to assess whether the solution is affecting the OpenAiClient capabilities in any way (!)

The trick was to use a Pipeline policy (via the HttpClientPipelineTransport).

        services.AddTransient<CustomHeadersHandler>(); //this is a standard 'DelegatingHandler' implementation that adds HTTP headers
        services.AddHttpClient("OpenAiHttpClient", client =>
        {
            client.Timeout = TimeSpan.FromMilliseconds(apiTimeout);
        })
        .AddHttpMessageHandler<CustomHeadersHandler>();

        services.AddSingleton(services =>
        {
            var httpClientFactory = services.GetRequiredService<IHttpClientFactory>();
            var httpClient = httpClientFactory.CreateClient("OpenAiHttpClient");

            return new OpenAIClient(
                new ApiKeyCredential(apiKey),
                new OpenAIClientOptions
                {
                    Endpoint = new Uri(apiUri),
                    NetworkTimeout = TimeSpan.FromMilliseconds(apiTimeout),
                    Transport = new HttpClientPipelineTransport(httpClient)
                }
            );
        });