If a header is included in the definition of the Request of the API then it will be included in the generated tests, add the header via the request editor, it is the second tab along the bottom of the editor.
If you have a large number of generated tests without this, you could use a Groovy script to add it to existing tests.
Take a look at my refactoring/meta-programming post from last week,
https://community.smartbear.com/t5/SoapUI-Open-Source/Let-s-talk-Meta-Programming-in-SOAPUI/m-p/182090#M28648
Replace the part that adds assertion with a call to
setRequestHeaders(...)
https://support.smartbear.com/readyapi/apidocs/soapui/com/eviware/soapui/impl/support/AbstractHttpRequest.html#setRequestHeaders-com.eviware.soapui.support.types.StringToStringsMap-
