docs: document how to use a custom AsyncOpenAI in the provider (#2073)

Author: Kludex

docs/models/openai.md

@@ -61,7 +61,21 @@ agent = Agent(model)
 
 `OpenAIProvider` also accepts a custom `AsyncOpenAI` client via the `openai_client` parameter, so you can customise the `organization`, `project`, `base_url` etc. as defined in the [OpenAI API docs](https://platform.openai.com/docs/api-reference).
 
-You could also use the [`AsyncAzureOpenAI`](https://learn.microsoft.com/en-us/azure/ai-services/openai/how-to/switching-endpoints) client to use the Azure OpenAI API.
+```python {title="custom_openai_client.py"}
+from openai import AsyncOpenAI
+
+from pydantic_ai import Agent
+from pydantic_ai.models.openai import OpenAIModel
+from pydantic_ai.providers.openai import OpenAIProvider
+
+client = AsyncOpenAI(max_retries=3)
+model = OpenAIModel('gpt-4o', provider=OpenAIProvider(openai_client=client))
+agent = Agent(model)
+...
+```
+
+You could also use the [`AsyncAzureOpenAI`](https://learn.microsoft.com/en-us/azure/ai-services/openai/how-to/switching-endpoints) client
+to use the Azure OpenAI API. Note that the `AsyncAzureOpenAI` is a subclass of `AsyncOpenAI`.
 
 ```python
 from openai import AsyncAzureOpenAI