Support HTTPS proxies. #722

Of the following proxy cases...

• HTTP proxy + HTTP destination
• HTTP proxy + HTTPS destination
• HTTPS proxy + HTTP destination
• HTTPS proxy + HTTPS destination

...we currently only support the first two.

In order to support the other two cases we should add a proxy_ssl_context argument, which should be used for the SSL connection to the proxy itself.

Implementing the last case will be a little complicated for the sync case, since the stdlib wrap_socket behaviour doesn't support TLS-in-TLS.

Note that the urllib3 project documentation, do a good job of documenting the possible proxy types.

Also see the httpx issue for this... encode/httpx#1434

Progress...

• Supported in standard sync.
• Supported in asyncio.
• Supported in trio.