I tried this today and succeeded.   I created a business rule on the sys_email table ("on before", "insert/update") to add the headers.   The script is below.   It is important to put your headers BEFORE theirs.   If you simply append your headers, they will be cut off.

/* add headers */

if(current.headers.indexOf("X-My-Header-Here") < 0){

  current.headers = "X-My-Header-Here: " + headerValue + "\n" + current.headers;

}