More tighter integration of OpenAI models with ML.NET

**Is your feature request related to a problem? Please describe.**
MIcrosoft has a strong alliance with OpenAI. Our expectation is that we should be able to easily get these models say from Model Zoo of Azure (similar HuggingFace) and use them in our application.

**Describe the solution you'd like**
1) Download and Save a GPT model in a very compressed format
2) on the first access, uncompress and cache the model file. I expect it to be huge
3) Like the GPT API provided by open AI, provide precise input and output objects.
4) Source application will fill in the request object and invoke the model as if it was an resource like database. It will receive the response which it will process

**Describe alternatives you've considered**
1) Calling API of OpenAI
2) Trying to use model from HuggingFace. I did not how to do this