Feature: Add "interceptor"

[sbernard31]

axios library provide an interceptor feature : https://github.com/axios/axios#interceptors

This is a useful idea to be able to apply a generic default behavior to all request.
This is pretty useful for example to handle error in a generic way.

Maybe this could be a good feature for vue-sse.

[tserkov]

Great suggestion! Not much trouble to actually get it added as well, since I already break out each message type into a single handler.

I'll add it to the roadmap.