You can do this if you construct your icon differently. You need to have a single shape rather than a line and an ellipse. Here's an example:
Create two circles and a rectangle, like this:
Select both circles and in the Style Tab, click the subract button:
This will cause the inner circle to punch a hole in the outer circle, giving you a single donut shape.
Now select this new donut shape along with the rectangle, and then hit the Unite button:
You'll now have a single shape:
Now you can set its fill and border colors – and the border width – like any other shape. Annoyingly the border is drawn from inside the shape, so you should plan for this ahead of time and make your shapes fatter: