using HTTPS proxy can't download youtube video - No status line received

[FingerlessGlov3s]

Checklist

• I'm reporting a broken site support issue
• I've verified that I'm running youtube-dl version 2020.09.20
• I've checked that all provided URLs are alive and playable in a browser
• I've checked that all URLs and arguments with special characters are properly quoted or escaped
• I've searched the bugtracker for similar bug reports including closed ones
• I've read bugs section in FAQ

Verbose log

youtube-dl --verbose https://www.youtube.com/watch?v=3YxaaGgTQYM
[debug] System config: [u'--proxy', u'https://WITHHELD@uk-017.windscribe.com:443/']
[debug] User config: []
[debug] Custom config: []
[debug] Command-line args: [u'--verbose', u'https://www.youtube.com/watch?v=3YxaaGgTQYM']
WARNING: Assuming --restrict-filenames since file system encoding cannot encode all characters. Set the LC_ALL environment variable to fix this.
[debug] Encodings: locale ANSI_X3.4-1968, fs ANSI_X3.4-1968, out ANSI_X3.4-1968, pref ANSI_X3.4-1968
[debug] youtube-dl version 2020.09.20
[debug] Python version 2.7.16 (CPython) - Linux-4.15.0-118-generic-x86_64-with-debian-10.1
[debug] exe versions: none
[debug] Proxy map: {u'http': u'https://WITHHELD@uk-017.windscribe.com:443/', u'https': u'https://WITHHELD@uk-017.windscribe.com:443/'}
[youtube] 3YxaaGgTQYM: Downloading webpage
ERROR: Unable to download webpage: No status line received - the server has closed the connection (caused by BadStatusLine('No status line received - the server has closed the connection',)); please report this issue on https://yt-dl.org/bug . Make sure you are using the latest version; type  youtube-dl -U  to update. Be sure to call youtube-dl with the --verbose flag and include its complete output.
  File "/usr/local/bin/youtube-dl/youtube_dl/extractor/common.py", line 632, in _request_webpage
    return self._downloader.urlopen(url_or_request)
  File "/usr/local/bin/youtube-dl/youtube_dl/YoutubeDL.py", line 2238, in urlopen
    return self._opener.open(req, timeout=self._socket_timeout)
  File "/usr/lib/python2.7/urllib2.py", line 429, in open
    response = self._open(req, data)
  File "/usr/lib/python2.7/urllib2.py", line 447, in _open
    '_open', req)
  File "/usr/lib/python2.7/urllib2.py", line 407, in _call_chain
    result = func(*args)
  File "/usr/local/bin/youtube-dl/youtube_dl/utils.py", line 2736, in https_open
    req, **kwargs)
  File "/usr/lib/python2.7/urllib2.py", line 1195, in do_open
    h.request(req.get_method(), req.get_selector(), req.data, headers)
  File "/usr/lib/python2.7/httplib.py", line 1058, in request
    self._send_request(method, url, body, headers)
  File "/usr/lib/python2.7/httplib.py", line 1098, in _send_request
    self.endheaders(body)
  File "/usr/lib/python2.7/httplib.py", line 1054, in endheaders
    self._send_output(message_body)
  File "/usr/lib/python2.7/httplib.py", line 892, in _send_output
    self.send(msg)
  File "/usr/lib/python2.7/httplib.py", line 854, in send
    self.connect()
  File "/usr/lib/python2.7/httplib.py", line 1271, in connect
    HTTPConnection.connect(self)
  File "/usr/lib/python2.7/httplib.py", line 834, in connect
    self._tunnel()
  File "/usr/lib/python2.7/httplib.py", line 806, in _tunnel
    (version, code, message) = response._read_status()
  File "/usr/lib/python2.7/httplib.py", line 412, in _read_status
    raise BadStatusLine("No status line received - the server has closed the connection")

Description

Trying to use HTTPS proxy with YouTubeDL, the same proxy string https://blahblah:443/ works fine in CURL so I know the proxy working, and I can curl webpages and shows the proxy IP when using https://ifconfig.co. When I try go to use it in YouTubeDL it gets "No status line received - the server has closed the connection"

Has this happened before with HTTPS proxy or this new?