AzureMonitor: Add custom header support to Azure Monitor (#60269)

* Add integration test for Azure Monitor

- Add Azure Monitor to datasource types
- Update instance creation to correctly set HTTP client options
- Combine custom azure headers and custom grafana headers on HTTP client creation
- Update HTTP client tests

* Test custom azure headers

pkg/tsdb/azuremonitor/httpclient_test.go

@@ -28,7 +28,7 @@ func TestHttpClient_AzureCredentials(t *testing.T) {
 			Scopes: []string{"https://management.azure.com/.default"},
 		}
 
-		_, err := newHTTPClient(route, model, cfg, provider)
+		_, err := newHTTPClient(route, model, cfg, provider, sdkhttpclient.Options{})
 		require.NoError(t, err)
 
 		require.NotNil(t, provider.opts)
@@ -41,7 +41,7 @@ func TestHttpClient_AzureCredentials(t *testing.T) {
 			Scopes: []string{},
 		}
 
-		_, err := newHTTPClient(route, model, cfg, provider)
+		_, err := newHTTPClient(route, model, cfg, provider, sdkhttpclient.Options{})
 		require.NoError(t, err)
 
 		assert.NotNil(t, provider.opts)
@@ -50,6 +50,33 @@ func TestHttpClient_AzureCredentials(t *testing.T) {
 			assert.Len(t, provider.opts.Middlewares, 0)
 		}
 	})
+
+	t.Run("should combine custom azure and custom grafana headers", func(t *testing.T) {
+		route := types.AzRoute{
+			Headers: map[string]string{
+				"AzureHeader": "AzureValue",
+			},
+		}
+		opts := sdkhttpclient.Options{
+			Headers: map[string]string{
+				"GrafanaHeader": "GrafanaValue",
+			},
+		}
+
+		res := map[string]string{
+			"GrafanaHeader": "GrafanaValue",
+			"AzureHeader":   "AzureValue",
+		}
+		_, err := newHTTPClient(route, model, cfg, provider, opts)
+		require.NoError(t, err)
+
+		assert.NotNil(t, provider.opts)
+
+		if provider.opts.Headers != nil {
+			assert.Len(t, provider.opts.Headers, 2)
+			assert.Equal(t, res, provider.opts.Headers)
+		}
+	})
 }
 
 type fakeHttpClientProvider struct {