It seems that the :request key is supported for Sentry.capture_exception/2, but it can't be set ahead of time. The SDK documentation seems to indicate that this should be supported: https://docs.sentry.io/clientdev/context/#common-context-methods
Essentially, I'm trying to do the same thing as Sentry.Plug but setting it at the time the plug is called so that Sentry.capture_exception/2 reports will have it.