How to add headers for proxy?

Is there any possible way to add authorization headers in HTTP proxy through `CONNECT` tunnel?

With `curl`, I can do:

```shell
$ curl -x http://127.0.0.1:8888 https://example.com --proxy-header "X-Proxy-Authorization: TOKEN"
```

which adds an authorization header for the HTTP proxy `http://127.0.0.1:8888`.

Seemingly there does not exist a hook or any configuration to allow me to do this.