MQTT connect with key?

When I so out of the box MQTT support, I was amazed and happy! Until I've found out that I can only connect it to MQTT servers like mosquitto. But I want to use IoT cloud services like AWS or Azure. And those services only allow connection with private key.

Would it be hard to add such an option to library?

For instance I have AWS IoT Button. I want to program it pass data to PLC. But with how it works right now I have to relay message through another MQTT server. (From version 3.1 brokers are called server).

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