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?