Background: My alumnus provides a permanent email forwarding service, but not a mailbox. I configure the forwarding to my ISP account.
In the Accounts preferences pane on the Account Information tab for Mail:
Enter the desired "Reply-To" email address in the "Email Address:" field.
In my case, I enter my alumnus provided email address there and the username and password for my ISP account in the appropriate fields.
It won't appear in the Reply-To field when composing a message, but will be inserted unless you type something into the Reply-To field, which would override it.
P.S. Just tested this. My alumni account appears in the email headers as a "Return-Path:". If I reply to this message, it uses the alumni address for the To: value. If you need an explicit "Reply-To" header in the message, scripting may be your only other option.