Describe the bug

Proxy support is still not available (or has many flaws) in axios. I think this problem should get much more attention, because axios is the biggest, most popular http client in the whole ecosystem. If someone is working on a project that requires sending (complex?) http(s) requests, and decides to use axios, they can't even debug the requests/responses with any web debugging proxy (like Fiddler) because it is simply not working.

1. Documentation here states that we can define proxy settings using the conventional http_proxy and https_proxy environment variables. No, it's not working.
2. Using the proxy option also fails the same way, just like setting it as "defaults".

Received error:
Error: write EPROTO 4479901120:error:1408F10B:SSL routines:ssl3_get_record:wrong version number:../deps/openssl/openssl/ssl/record/ssl3_record.c:332:

Based on these facts, the documentation has been incorrect for a long time, so I'm suggesting to fix either the code or if can not be fixed, update the docs (by removing proxy support and/or recommending to use an external http(s) proxy agent instead of trying to suggest configuring proxies through axios config).

Similar issues: #1877 #3384 #3459 and a lot of other open (and closed) proxy related issues

To Reproduce

Try using a popular HTTP debugger or proxies.

Expected behavior

The proxies to work or to be removed from the docs.

Environment

• Axios Version: v0.22.0
• Adapter: default
• Node.js Version: v14
• OS: OSX 10.15.6

Additional context/Screenshots