https://learn.microsoft.com/en-us/legal/cognitive-services/openai/data-privacy

Is customer data processed by Azure OpenAI sent to OpenAI? No. Microsoft hosts the OpenAI models within our Azure infrastructure, and all customer data sent to Azure OpenAI remains within the Azure OpenAI service.

Is customer data used to train the OpenAI models? No. We do not use customer data to train, retrain or improve the models in the Azure OpenAI Service.