Ray, there should be a setting in the aircraft profile that allows you to start the engines before pushback, so just a matter of changing it. It's also useful in case you need to start the engines at the gate because of an inoperative APU.
Kev, but would that change the whole pushback procedure where I have to start engines before pushback irrespective of the APU state?
It shouldn't, or at least I haven't had that issue. The only thing I can suggest is try it and find out. I was fairly certain this was in the GSX settings somewhere, but Umberto had corrected me saying it was in the aircraft profile the last time somebody had asked.