Did you try that? I can't find any confirmation on if it's actually working for classical keys but it's for sure not supported for resident keys on Ledger.
https://www.ledger.com/blog/strengthen-the-security-of-your-...
https://github.com/LedgerHQ/app-security-key/issues/6
https://github.com/LedgerHQ/app-security-key/issues/7
Is Trezor implementation more mature?