Add Cloudfront (or any url) support for header video

When I customize my site under Site Identity (or Header Media) I would like to use a cloudfront (or externally provided url) video  instead of having the header video uploaded in the WP gallery. As of now I only got two options: Manual upload on WP (which might have a slower speed depending on the peer's location) Youtube link (which adds branding and makes the site act sluggish)   The option I would vouch for would be a simple url: Sample CDN url: https://d2axv9xsl1uupv.cloudfront.net/OCMedia-Rucar_1.mp4   Vimeo or wistia support for header video would also be nice.