I reached out to Mailgun support regarding this in 2021 and got the response that they didn't support that feature at the moment. I can't find any information that the feature has been added to Mailgun, but this feature request suggests that they've added it, but, just as with Mailjet, you have to contact support to en enable the feature.
I'm guessing that this is about the return-path explained in the Mailjet blog post below?
https://www.mailjet.com/blog/deliverability/return-path-customization-explained/
I reached out to Mailgun support regarding this in 2021 and got the response that they didn't support that feature at the moment. I can't find any information that the feature has been added to Mailgun, but this feature request suggests that they've added it, but, just as with Mailjet, you have to contact support to en enable the feature.