Description of the desired feature

It would be helpful to include an example showing how to specify the projection using EPSG codes in the projections gallery.

Here's a simple example of this feature in use:

import pygmt

fig = pygmt.Figure()
fig.coast(region=[-180, 180, -80, 80], projection="EPSG:3857", frame=True, shorelines="1p")
fig.show()

#1251 demonstrates how to add examples to the projection gallery.

Are you willing to help implement and maintain this feature? Help is welcome for adding this to the documentation.