When connecting to Azure it’s hard to know what to do.
Here are the steps to get it to work if you run into the same problems.
Copy-paste the API key and resource name (the subdomain for your AI Azure endpoint)
Go to playground and deploy gpt-4.1-nano (use the default name). Then click Test in Vercel AI Gateway and it should work.
@elie222, thank you so much for sharing this with the rest of the community!
I shared it with our product team and they got our docs updated:
Appreciate the contribution - you rock! 
I found @elie222‘s post very helpful. @pawlean, I think the model name “gpt-4.1-nano” used when setting up Azure OpenAI with BYOK should be more clearly stated in a more easily accessible location.
Thank you. 
Where would you prefer it?
@pawlean, I think the webpage you previously provided below is the best option.
If you prefer not to mention the specific model name gpt-4.1-nano, please disregard this.