How to set sip headers while initiating the call?

You can set channel_vars in the make call, or bridge call requests. It's a object just like call_params. Any key starting with "sip_h_" will be set as SIP header while sending out the invite via the trunk. For example, If you set {"sip_h_X-company": "acme"} then the outgoing SIP INVITE will have "X-company" as a header the value of which will be "acme". The standard practice is so start all SIP headers with "X-".

attaching link for reference