Akka HTTP: CONNECT a.k.a. tunneling proxy is not supported

**Issue by [ktoso](https://github.com/ktoso)**
_Monday Jul 13, 2015 at 10:30 GMT_
_Originally opened as https://github.com/akka/akka/issues/17976_

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We currently do not support CONNECT (i.e. tunneling proxy) https://en.wikipedia.org/wiki/HTTP_tunnel#HTTP_CONNECT_tunneling

This is currently by design, and we do not have immediate plans to implement it.
This ticket is here for tracking interest for support of the CONNECT method (or maybe some contributor would like to step up and give it a shot?)

Start by reviewing the issue's HTTP CONNECT tunneling reference and the Akka HTTP client and proxy-related entry points. No source files or tests are named, so the implementation scope must be established before work begins. Done means Akka HTTP supports CONNECT tunneling proxy requests with appropriate coverage.

Written by the indexing model from the issue text.