In the lazy-load case I want to ensure that the real object is loaded before forwarding, so it's not that simple.

You can call the super class's constructor first:

package 'Bar';
use base 'Foo';
sub new {
  my $class = shift;
  my $parent_class_object = SUPER->new();
  ...
}
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And then store it, or use it, or rebless it, or whatever.