If a resource is not on on your server then you can't handle how the response should be generated and add own headers.
The only way you can go is downloading external files and serve them from your server. However, external resources may change and for that reason you coould just update each day/week these files from the original source.
You may also find some CDNs which do the same. If you wan't a maximum perfomance then serving all static content from CDN is a must.