Azure AD Standard connector does not enable to add custom headers.
If you need to achieve this requirement, you must configure a REST connector for the same, which gives way more flexibility in my opinion.
I attached a sample ImportAccountEntJSON to import accounts using the Graph APIs, where you can update the headers per your need.
For more information about building a REST connector, head over this link : https://docs.saviyntcloud.com/bundle/REST-v2022x/page/Content/Developers-Handbook.htm
Hope this helps !