Pass x-amzn-iot-thingname header when authenticating to IoT Data Plane

[supergillis]

Describe the bug
The IotDataPlaneClientFactory is not passing the thing name as x-amzn-iot-thingname HTTP header. This prevents us from using IoT Core Policy variables like iot:Connection.Thing.ThingName.

To Reproduce
Use ${iot:Connection.Thing.ThingName} in the IoT Core Policy for iot:*ThingShadow.

{
  "Version": "2012-10-17",
  "Statement": [
    {
      "Action": [
        "iot:GetThingShadow",
        "iot:UpdateThingShadow",
        "iot:DeleteThingShadow",
        "iot:ListNamedShadowsForThing"
      ],
      "Effect": "Allow",
      "Resource": [
        "arn:aws:iot:eu-west-1:831588550848:thing/${iot:Connection.Thing.ThingName}",
        "arn:aws:iot:eu-west-1:831588550848:thing/${iot:Connection.Thing.ThingName}/*"
      ]
    }
  ]
}

Expected behavior
The AWS IoT Core policy using the policy variable iot:Connection.Thing.ThingName should work.

Actual behavior
Synchronizing shadows with the shadow manager does not work. You have to set Resource to * for it to work.