Adding a custom header for Mailgun

I have the WP Mail SMTP plugin configured with Mailgun (authorized key and domain). I’m also setting the From email and the return-path correctly. It works to send emails to say a gmail address. But when we send email to an address associated with our domain in Mailgun, it fails with the error “Sender verify failed”. It looks like I need to pass this custom header along the way
x-mailgun-native-send => true
Any ideas how I can pass a custom header for Mailgun? Can it be added via a filter?