Currently, it looks like you can only use OpenAI/ChatGPT via API keys, which can be harder to get for work. But unlike Claude, OpenAI actually allows you to use a subscription from other programs for coding than Codex.

In some other coding agents I have tried, like pi, you can log in via the browser. You type /login, select OpenAI, it opens the browser to their page for this, you click allow, and the app can detect it and get the session. This would make it easier to use the AI features in LINQPad, so you can use your company's subscription that doesn't allow training on the data without having new accounts or API keys set up.