Earlier last year on March, there was a post here by Jeremy Rubin that explains 
how a person could delegate its UTXO to some script, by (AFAICT) creating a new 
transaction using that UTXO, with whatever script you want it to have.

It was written in terms of normal transactions, but can be extended to message 
signing transactions too.

https://lists.linuxfoundation.org/pipermail/bitcoin-dev/2021-March/018615.html

Only the beginning of the post is relevant here.

- Ali

On Wed, Aug 10, 2022 at 11:11:10PM +0000, Ryan Grant wrote:
> >> TODO: A way for the initial signer to delegate to another
> >> scriptPubKey; needed for better privacy and CoinJoin/Lightning
> >> compatibility
>
> I need more documentation to understand this motivation.
>
> On Tue, Aug 9, 2022 at 8:46 PM Ali Sherief via bitcoin-dev
> <bitcoin-dev@lists.linuxfoundation.org> wrote:
> > In the case of the last TODO, related to delegation to another
> > scriptPubKey, I am not quite sure at the moment what to do about
> > it - perhaps you guys can place a MAST (two Merkle branches, to be
> > specific) - the first branch has the original signer's scriptPubKey,
> > the second branch contains the delegated signer's scriptPubKey.
>
> I don't understand this requirement, but it seems that whatever
> parties are involved can make signatures on the delegating and
> delegated keys.

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