Use of Scaler with LassoCV, RidgeCV
I got the answer through the scikit-learn mailing list so here it is: 
'There is no way to use the "efficient" EstimatorCV objects with pipelines.
This is an API bug and there's an open issue and maybe even a PR for that.'
Many thanks to Andreas Mueller for the answer.
I would like to use scikit-learn LassoCV/RidgeCV while applying a 'StandardScaler' on each fold training set. I do not want to apply the scaler before the cross-validation to avoid leakage but I cannot figure out how I am supposed to do that with LassoCV/RidgeCV. 
Is there a way to do this ? Or should I create a pipeline with Lasso/Ridge and 'manually' search for the hyperparameters (using GridSearchCV for instance) ?
Many thanks.