I apologize if this has already been implemented or issue created, but I could not find this usage in the documentation.

This would solve...

I would like to specify a proxy for each fetch run.

The implementation should look like...

Deno implements as follows PR:
denoland/deno#10907

In undici, it would become as follows...?

import { ProxyAgent } from 'undici';

const client = new ProxyAgent('localhost:3000');
const response = await fetch("https://myserver.com", { client });

(Is ProxyAgent better than Client?)