More than a decade ago, I tinkered around with doing stuff like this. I found that many Windows apps got ugly and naughty when you hold up the connection. I started making a list of the various methods I used to try to hold the connection before user authorization could occur and that's about where I gave up on working it.

My least favorite are the games using bespoke UDP connection protocols. They try different ports so rapidly you can't approve one before they've tried fifteen more. They don't retry, so you better catch up!