You can create your own instances of the OpenAI models in Azure to keep proprietary data with the bounds of your tenant there.
> Fine-tuned OpenAI models. The Fine-tunes API allows customers to create their own fine-tuned version of the OpenAI models based on the training data that they have uploaded to the service via the Files APIs. The trained fine-tuned models are stored in Azure Storage in the same region, encrypted at rest and logically isolated with their Azure subscription and API credentials. Fine-tuned models can be deleted by the user by calling the DELETE API operation.
My follow-up question is: how is this different from OpenAI's finetuning?