Dataset with streaming doesn't work with proxy

### Describe the bug

I'm currently trying to stream data using dataset since the dataset is too big but it hangs indefinitely without loading the first batch. I use AIMOS which is a supercomputer that uses proxy to connect to the internet. I assume it has to do with the network configurations. I've already set up both HTTP_PROXY and HTTPS_PROXY. streaming = False works fine.

### Steps to reproduce the bug

use load_dataset with streaming = True in AIMOS

### Expected behavior

does not hang indefinitely and loads batches to start training run

### Environment info

_libgcc_mutex 0.1 conda_forge conda-forge
_openmp_mutex 4.5 2_gnu conda-forge
_pytorch_select 2.0 cuda_2 https://ftp.osuosl.org/pub/open-ce/1.10.0
abseil-cpp 20220623.0 h9888cd1_6 conda-forge
absl-py 1.0.0 py311h399429b_0 https://ftp.osuosl.org/pub/open-ce/1.10.0
aiofiles 23.2.1 pyhd8ed1ab_0 conda-forge
aiohttp 3.8.6 py311hf118e41_0
aiosignal 1.2.0 pyhd3eb1b0_0
archspec 0.2.3 pyhd8ed1ab_0 conda-forge
arrow-cpp 11.0.0 ha3edaa6_5_cpu conda-forge
async-timeout 4.0.2 py311h6ffa863_0
attrs 23.1.0 py311h6ffa863_0
av 10.0.0 py311he6153ed_2 https://ftp.osuosl.org/pub/open-ce/1.10.0
aws-c-auth 0.6.24 hb81f6d7_5 conda-forge
aws-c-cal 0.5.20 h3c2b4d9_6 conda-forge
aws-c-common 0.8.11 h4194056_0 conda-forge
aws-c-compression 0.2.16 ha19333d_3 conda-forge
aws-c-event-stream 0.2.18 h12a9399_6 conda-forge
aws-c-http 0.7.4 ha2cde00_2 conda-forge
aws-c-io 0.13.17 h9189062_2 conda-forge
aws-c-mqtt 0.8.6 h40d1a04_6 conda-forge
aws-c-s3 0.2.4 hbdbe4f0_3 conda-forge
aws-c-sdkutils 0.1.7 ha19333d_3 conda-forge
aws-checksums 0.1.14 ha19333d_3 conda-forge
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aws-sdk-cpp 1.10.57 hb9575ba_4 conda-forge
blas 1.0 openblas
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boltons 23.0.0 py311h6ffa863_0
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lmdb 0.9.31 ha17a0cc_1 conda-forge
lz4-c 1.9.4 h4a02239_0
markdown 3.4.4 pyhd8ed1ab_0 conda-forge
markupsafe 2.1.5 py311h32d8acf_0 conda-forge
matplotlib 3.8.0 py311h6ffa863_0
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ncurses 6.4 h4a02239_0
nest-asyncio 1.6.0 pyhd8ed1ab_0 conda-forge
networkx 2.8.8 pyhd8ed1ab_0 conda-forge
nomkl 3.0 0 https://ftp.osuosl.org/pub/open-ce/1.10.0
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reproc 14.2.4 h29c3540_1
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