Under ideal circumstances, your method call is opaque: The only way you can influence it is to change its state, dependencies, or parameters. Constructors are inherently static method calls, which provide no opportunity (in Java) for overriding or adjusting behavior. The constructor might as well be inlined, and on some virtual machines that may literally happen.
Other than creating a testing "seam" for yourself, such as a factory object or overridable method, your only other choice is to edit the bytecode between when the class is compiled and when it is run in your test—which, incidentally, is what PowerMock does as in default locale's comment. Though PowerMock is a powerful and useful library, it does have some extremely specific installation steps that can be tricky to get right, and then you're testing the PowerMock-edited version of your class-under-test rather than the class itself.
See this answer for a related question (how to mock an instance in a private field). The specific outcome is different, but similarly you have to either refactor for testing or break encapsulation.