[Feature]: Add session persistence for Azure OpenAI

#443 added session persistence for Gemini, but other providers were left unimplemented.

We should add similar implementation of Initialize() to load chat history for Azure OpenAI. This can happen in gollm/azopenai.go and will likely follow a similar flow to Gemini, where we convert api messages to the provider-specific messages and add them to the history.

Adding tests is also very welcomed. Basic flows like saving and loading sessions, creating a new session, deleting a session, and listing sessions should be covered. Edge cases like invalid session ID and corrupted save file should also be covered.