Allow setting custom kProxyHeaders

[Sebmaster]

This would solve...

ProxyAgent currently only allows configuring the Authorization header for its CONNECT request to the proxy. I'd like to add different custom headers (e.g. User-Agent) as well. This header should only be sent in the CONNECT request, not in the tunneled requests to the target URL.

The implementation should look like...

I think providing a way to add more headers to kProxyHeaders - possibly just an arbitrary headers object in the options param?

[KhafraDev]

cc @RafaelGSS

[RafaelGSS]

Would you like to send a Pull Request to address this issue? Remember to add unit tests.

[Sebmaster]

Done: #1877.