Using Cursor with an LLM proxy (à la LiteLLM)

Some deployments (think highly regulated industries like finance, government, etc.) prevent a direct access to LLM services. What they usually do is deploy an internal proxy service that then routes to selected LLM providers with authentication, logging, accounting, etc. taken care of. LiteLLM offers something similar.

Is it something that can work with Cursor?
Or does Cursor require a connection to the Cursor server and a direct connection to the various LLM providers?