feat: allow connection header in request

[ronag]

This seems to come up quite often. I'm opening this PR as stub for anyone that wants to finish it up. I think it mostly needs test and docs.

Refs: https://github.com/nodejs/undici/issues/1746 Refs: https://github.com/nodejs/undici/issues/1310 Refs: https://github.com/nodejs/undici/issues/1305 Refs: https://github.com/nodejs/undici/issues/444