você precisa definir seu proxy e, em seguida, emitir o comando de login heroku
Fonte: link
Using an HTTP proxy If you’re behind a firewall that requires use of a proxy to connect with external HTTP/HTTPS services, you can set the HTTP_PROXY or HTTPS_PROXY environment variables in your local developer environment, before running the heroku command. For example, on a Unix system you could do something like this:
$ export HTTP_PROXY=http://proxy.server.com:portnumber
or
$ export HTTPS_PROXY=https://proxy.server.com:portnumber
$ heroku login
On a Windows machine, either set it in the System Properties/Environment Variables, or do it from the terminal:
> set HTTP_PROXY=http://proxy.server.com:portnumber
or
> set HTTPS_PROXY=https://proxy.server.com:portnumber
> heroku login