open connection with custom socket

# Feature Description

I would like to be able to connect with a manually provided socket.

This would enable me to tunnel MQTT through an SSH connection with [paramiko](https://docs.paramiko.org/en/stable/api/transport.html#paramiko.transport.Transport.open_channel).

```python3
import paramiko

# connect to SSH gateway
sshclient = paramiko.SSHClient()
sshclient.connect("sshgateway.example.org", "user", "password")

def create_socket():
# open tunnel to the internal MQTT port
return sshclient.get_transport().open_channel('direct-tcpip', ("127.0.0.1", 1883), ('', 0))

import paho.mqtt.client as mqtt
mqttc = mqtt.Client(mqtt.CallbackAPIVersion.VERSION2)
mqttc.connect("127.0.0.1", transport="callback", create_socket=create_socket)
```

# Requested Solution

```python3
import socket

def create_socket():
sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
sock.connect(('mqtt.example.org', 1883))
return sock

import paho.mqtt.client as mqtt
mqttc = mqtt.Client(mqtt.CallbackAPIVersion.VERSION2)
mqttc.connect("mqtt.example.org", transport="callback", create_socket=create_socket)
```

# Alternatives

For now, I can use my own SocketedClient class, which inherits Client and uses a provided create_socket function on connect() and reconnect().