After this patchset http-connect works with pproxy [1]:
$ pproxy -l http://:8000/ -vvv &
$ http-connect //127.1:8000 http://kernel.org:80/
[1]: https://pypi.org/project/pproxy/
* http-connect:
http-connect: do not check connection on GET cb
http-connect: set Host header (for CONNECT and GET) (like curl)
http-connect: cleanup and helpers
http: do not close connection for CONNECT
http: do not assume body for CONNECT
Fixes: #946