How do I use Powermockito to mock the construction of new objects when testing a method in an anonymous class?

I woud like to write a JUnit test to verify that the code below uses a BufferedInputStream:

public static final FilterFactory BZIP2_FACTORY = new FilterFactory() {
    public InputStream makeFilter(InputStream in) {        
        // a lot of other code removed for clarity 
        BufferedInputStream buffer = new BufferedInputStream(in);
        return new CBZip2InputStream(buffer);
    }
};

(FilterFactory is an interface.)

My test thus far looks like this:

@Test
public void testBZIP2_FactoryUsesBufferedInputStream() throws Throwable {
    InputStream in = mock(InputStream.class);
    BufferedInputStream buffer = mock(BufferedInputStream.class);
    CBZip2InputStream expected = mock(CBZip2InputStream.class);

    PowerMockito.spy(InputHelper.BZIP2_FACTORY);  // This line fails
    whenNew(BufferedInputStream.class).withArguments(in).thenReturn(buffer);
    whenNew(CBZip2InputStream.class).withArguments(buffer).thenReturn(expected);
    InputStream observed = InputHelper.BZIP2_FACTORY.makeFilter(in);

    assertEquals(expected, observed);
}

The call to PowerMockito.spy raises an exception with this message:

org.mockito.exceptions.base.MockitoException: 
Mockito cannot mock this class: class edu.gvsu.cis.kurmasz.io.InputHelper$1
Mockito can only mock visible & non-final classes.

What should I be using instead of PowerMocktio.spy to set up the calls to whenNew?