This likely means your configuration is not correct, specifically the endpoint. Can you double-check your configuration and make sure it is pointed to the correct resource?
https://docs.mendix.com/appstore/connectors/openai-connector/#azure-open-ai-configuration
So, it should point to https://your-resource-name.openai.azure.com/openai/deployments/, where "your-resource-name" is replaced with your own resource name.