[Docs] Add docs for Azure OpenAI provider (#804)

docs/components/vector-databases.mdx

@@ -119,11 +119,17 @@ Install related dependencies using the following command:
 pip install --upgrade 'embedchain[milvus]'
 ```
 
+Set the Zilliz environment variables `ZILLIZ_CLOUD_URI` and `ZILLIZ_CLOUD_TOKEN` which you can find it on their [cloud platform](https://cloud.zilliz.com/).
+
 <CodeGroup>
 
 ```python main.py
+import os
 from embedchain import App
 
+os.environ['ZILLIZ_CLOUD_URI'] = 'https://xxx.zillizcloud.com'
+os.environ['ZILLIZ_CLOUD_TOKEN'] = 'xxx'
+
 # load zilliz configuration from yaml file
 app = App.from_config(yaml_path="config.yaml")
 ```
@@ -147,8 +153,16 @@ _Coming soon_
 
 ## Pinecone
 
+Install pinecone related dependencies using the following command:
+
+```bash
+pip install --upgrade 'embedchain[pinecone]'
+```
+
 In order to use Pinecone as vector database, set the environment variables `PINECONE_API_KEY` and `PINECONE_ENV` which you can find on [Pinecone dashboard](https://app.pinecone.io/).
 
+<CodeGroup>
+
 ```python main.py
 from embedchain import App
 
@@ -165,6 +179,8 @@ vectordb:
     collection_name: my-pinecone-index
 ```
 
+</CodeGroup>
+
 ## Qdrant
 
 _Coming soon_