Simply go to your Component.js file and add this line to the init
function:
this.getModel().setHeaders({"myCustomParameter": "test"})
In a CAP Backend, you get this parameter from the express req object, which can be accessed via the req.http property:
req.http.req.headers['myCustomParameter']
And here is a nice code snippet, on how to read this header parameter in an ABAP system: https://answers.sap.com/answers/425621/view.html