SSE extension: Add the ability to send data to the endpoint before the connecction is being made similar to htmx:configRequest or htmx:wsConfigSend

I have many users, each user has his own cookie identifier, I need to send to the SSE endpoint in order for the server to perform the right action, on the data belonging to the correct user.

In HTMX I can do this

```
document.body.addEventListener("htmx:configRequest", function (evt) {
evt.detail.headers["cookie"] = cookie;
});
```

I can do the same via was extension via the `htmx:wsConfigSend` event, but in sse, there's no such events and I can't pass data via the headers, I'm forced to append the cookie to the sse URL via javascript and that's so dirty, like so

```

const sseContainer = document.getElementById("sse-container");
sseContainer.setAttribute(
"sse-connect",
"/progress/" + cookie
);

```
I would be great to be able to pass data via the headers and have more control like the standard htmx and websockets extension