Mailgun has a number of headers available. Example is o:deliverytime and v:my-var. There is no way of setting these headers with the current implementation. All headers get prefixed with h:. See MailgunApiTransport::getPayload()

It would be a good idea to allow user to set these headers. See here for a complete list: https://documentation.mailgun.com/en/latest/api-sending.html#sending

I suggest to only allow headers that begins with h:, t:, o:, v: and then fallback to prefix with h:. That will allow us to add this in a BC compatible way.