How do I insert a record with an external ID?

How do I insert a record with an external ID?

Request header: X-EXTERNAL: Potentials.Subscription_Id

Request body:
{
    "data": [
        {
            "id": "385551000026301022",
            "Subscription_Id": "cc49c2cf-dc69-4ae7-a42e-c8c3a0d59fa2_1"
        }
    ]
}

(I've omitted some other fields for confidentiality)

Response body:
{
    "code": "INVALID_DATA",
    "details": {
        "external_field": "Potentials.Subscription_Id",
        "header_name": "X-EXTERNAL"
    },
    "message": "invalid external fields in header",
    "status": "error"
}

Why isn't it working?