[Motivation: rust-lang/rustup#509]
The function client::Client::with_http_proxy constructs a Proxy struct (via hyper::client::proxy::tunnel) with the ssl field which depends on build-time configuration of the TLS library. Rustup compiles hyper with no TLS support, using its own TLS wrapper based on rust-native-tls. In this case, hyper will use the built-in no_ssl::Plaintext wrapper, which will preclude using https URLs with proxy support.
There is currently no way to specify a custom TLS wrapper when initializing a proxied Client.