Can I fire an event on connect database in Entity Framework Core?

I've one DbContext with all working to access my Postgresql DB, but I need to run one little SQL command when connection session starts with DB. I need to do this for every interaction. To be more specific, it's a function for set a session variable with user name logged.

It's possible to do something to handle that in EF Core?

--SOLUTION--

I didn't realized that I could specify a connection directly in OnConfiguring like bricelam says. I need to do this in every connection because it's a variable by session. It's not a user name for database but for application logging system.

    public ContratoInternetDbContext(DbContextOptions<ContratoInternetDbContext> options, 
        IOptions<AppSettings> configs)
        : base(options)
    {
        _appSettings = configs.Value;
    }

    protected override void OnConfiguring(DbContextOptionsBuilder optionsBuilder)
    {
        var conn = new NpgsqlConnection(_appSettings.ConnectionString);
        conn.StateChange += (snd, e) =>
        {
            if ((e.CurrentState != e.OriginalState) && (e.CurrentState == ConnectionState.Open))
            {
                _cmmSetVarSession.ExecuteNonQuery();
            }
        };

        optionsBuilder.UseNpgsql(conn);

        _cmmSetVarSession = conn.CreateCommand();
        _cmmSetVarSession.CommandText = "select sessao_set_var('usuario', 'CENTRAL_CLIENTE')";
    }