I have the following setup:
The short answer is: there is no native support in the Azure IoT stack that supports that scenario. The documentation you have linked to has been under discussion for a while now and a feature request has been created. That doesn't mean it's impossible though, but it involves some workarounds that might not be acceptable to your use case.
One way to provide identity to your sensor is to create a device for each sensor in IoT Central and to pass their connection information to the module twin of a module you need to build. That module would receive the sensor values, figure out what connection information to use and send telemetry straight to IoT Central (so not through the Edge Runtime).
Update: Microsoft created a sample module that shows how to provide a basic implementation of identity translation. Other than that, no native support in the runtime yet.