Ah, thanks for going into a little bit more detail here 
I checked in with @Jon just to be sure - there are some issues when using proxies with n8n which we will be looking to resolve soon. The issue itself comes from the Axios package we use not supporting https over http. If your proxy supports it you can set up https and that will work, but depending on what your proxy is used for (content inspection) it may cause other issues.
I’ll make sure to mention this thread in our internal ticket for the topic, too.