Have you got an example? I couldn't work out how to do it last time, but it's easier for me to get an Australian geoblocked site going than it is to submit a bug report and wait for someone to use a proxy.
You can search through pull requests to see a few examples, but I wouldn't say it's that simple. Login in and authentication can be very different for each website.
https://github.com/rg3/youtube-dl/tree/master/youtube_dl/ext...