Isso parece cobrir isso:
When tunneling SSL, the proxy must not have access to the data being
transferred in either direction, for sake of security. The proxy
merely knows the source and destination addresses, and possibly, if
the proxy supports user authentication, the name of the requesting
user.
...
CONNECT is really a lower-level function than the rest of the HTTP
methods, kind of an escape mechanism for saying that the proxy should
not interfere with the transaction, but merely forward the data. This
is because the proxy should not need to know the entire URI that is
being accessed (privacy, security), only the information that it
explicitly needs (hostname and port number).
...
CONNECT home.netscape.com:443 HTTP/1.0
User-agent: Mozilla/4.0
Proxy-authorization: basic dGVzdDp0ZXN0
...SSL data...