Add integration testing

[abhinavsingh]

Is your feature request related to a problem? Please describe.
GitHub Actions testing doesn't start proxy.py in respective environments. The only test which would do that is disabled for GitHub Actions since it stalls the test execution.

This can impact end user experience across platform e.g. #233 resulted in broken binary for Python 3.8 on macOS.

Describe the solution you'd like
A GitHub actions integration test which ensures proxy binary performs as expected.