docs: address OpenAI gateway review feedback

Co-authored-by: openhands <openhands@all-hands.dev>

Author: enyst

sdk/guides/agent-server/openai-gateway.mdx

@@ -167,13 +167,18 @@ If the UI can store a response header and send a custom request header, persist
 Voice platforms and webhook integrations usually have their own session or call ID. Store a mapping from that external ID to the OpenHands conversation ID:
 
 ```python
+import os
+
+# Initialize this once at app startup, or replace it with durable session storage.
+conversation_ids: dict[str, str] = {}
+
 conversation_id = conversation_ids.get(platform_session_id)
 headers = {}
 if conversation_id:
     headers["X-OpenHands-ServerConversation-ID"] = conversation_id
 
 response = client.chat.completions.with_raw_response.create(
-    model="openhands_gateway_demo",
+    model=os.environ.get("OPENHANDS_MODEL", "openhands_gateway_demo"),
     messages=[{"role": "user", "content": transcript_text}],
     extra_headers=headers,
 )