Hi Stefan,
You are right! It doesn't support to set URL / HTTP parameters outside the logical port.
Nevertheless, I have debugged the whole engine and found out that via custom coding (enhancements / modifications) and with extreme attention, the URL can be rewritten as desired.
When a method of the proxy is called, let's say for instance: lo_proxy->logout (...) - as written up for example, the method CL_HTTP_CLIENT=>CREATE_BY_URL is called dynamically.
In this method, in the "url" variable is the desired URL that needed to be rewritten.
Here it's about an importing parameter, so it cannot be changed so easily, but it's not impossible. 
Another place where a nice Enhancement can be created is at the beginning of the FM "SWLWP_URI_PARSE".
You need to be very careful not to change these places in all cases (this CREATE_BY_URL will be called pretty much), JUST when the specific conditions are fulfilled.
Have a great day / week!
Warm regards,
Alex