[fix] Pass cli headers directly to AsyncOpenAI client

[tusharbisht]

Description

AsyncOpenAI(AsyncAPIClient) expects default_headers to be passed directly during initialization. Default headers are supplied through CLI, and are particularly useful in cases where the Auth headers are necessary, like https://generativelanguage.googleapis.com/v1beta/openai/

Type of Change

• [x ] Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to not work as expected)
• Documentation update
• Test improvement

Testing

• All existing tests pass when running uv run pytest locally.
• New tests have been added to cover the changes

Checklist

• My code follows the style guidelines of this project as outlined in AGENTS.md
• I have performed a self-review of my own code
• [] I have commented my code, particularly in hard-to-understand areas
• I have made corresponding changes to the documentation
• My changes generate no new warnings
• Any dependent changes have been merged and published

Additional Notes

[CLAassistant]

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