feat: Add clear error message when API key is missing (#2992)

# What does this PR do?

Improve user experience by providing specific guidance when no API key
is available, showing both provider data header and config options with
the correct field name for each provider.

Also adds comprehensive test coverage for API key resolution scenarios.

addresses #2990 for providers using litellm openai mixin

## Test Plan

`./scripts/unit-tests.sh
tests/unit/providers/inference/test_litellm_openai_mixin.py`

llama_stack/providers/utils/inference/litellm_openai_mixin.py

@@ -254,6 +254,12 @@ class LiteLLMOpenAIMixin(
             api_key = getattr(provider_data, key_field)
         else:
             api_key = self.api_key_from_config
+        if not api_key:
+            raise ValueError(
+                "API key is not set. Please provide a valid API key in the "
+                "provider data header, e.g. x-llamastack-provider-data: "
+                f'{{"{key_field}": "<API_KEY>"}}, or in the provider config.'
+            )
         return api_key
 
     async def embeddings(