feat(python): Add proxy_headers to common/config (#5809)

src/platforms/common/configuration/options.mdx

@@ -612,6 +612,12 @@ Configures a separate proxy for outgoing HTTPS requests. This value might not be
 
 </ConfigKey>
 
+<ConfigKey name="proxy-headers" supported={["python"]}>
+
+A dict containing additional proxy headers (usually for authentication) to be forwarded to `urllib3`'s [`ProxyManager`](https://urllib3.readthedocs.io/en/1.24.3/reference/index.html#urllib3.poolmanager.ProxyManager).
+
+</ConfigKey>
+
 <ConfigKey name="cache-directory-path" supported={["dotnet", "android", "unity"]}>
 
 Specifies a local directory used for caching payloads. When this option is enabled (that is, when the directory is set), the Sentry SDK will persist envelopes locally before sending to Sentry. This configuration option is particularly useful if you expect your application to run in environments where internet connectivity is limited.