You train on data. Context is also data. If you want a model to have certain data, you can bake it into the model during training, or provide it as context during inference. But if the "context" you want the model to have is big enough, you're going to want to train (or fine-tune) on it.

Consider that you're coding a Linux device driver. If you ask for help from an LLM that has never seen the Linux kernel code, has never seen a Linux device driver and has never seen all of the documentation from the Linux kernel, you're going to need to provide all of this as context. And that's both going to be onerous on you, and it might not be feasible. But if the LLM has already seen all of that during training, you don't need to provide it as context. Your context may be as simple as "I am coding a Linux device driver" and show it some of your code.