#### Is your feature request related to a problem? Please describe.
Axios 0.21.1 does not cope with requests through proxy to secured URLs - HTTP code 501 is received.
I'm behind corporate network. When I try to launch the following code, the error 501 is received:
```
const axios = require("axios");

axios.get('https://jsonplaceholder.typicode.com/todos/12', {
    proxy: {
        protocol: 'http',
        host: 'corporate.proxy',
        port: 9000
    },
})
    .then(response => response.data)
    .then(data => console.log(data))
    .catch((error) => {
        const errorMessage = error.message;
        const responseData = error.response && error.response.data;
        console.log('error')
        console.log(`${errorMessage}${
            responseData
            && typeof responseData === 'object'
                ? `: ${JSON.stringify(responseData)}`
                : ''}`)
    });
```

Requests made to unsecured URLs - http protocol - with or without proxy settings succeed.

#### Describe the solution you'd like
Fix or implement please a possibility to perform requests to secured URLs - https protocol - through proxy.

#### Describe alternatives you've considered
Instead of using "axios" module, the module "axios-https-proxy-fix" solves the issue. However, it's some old fix. And most probably does not update to new features that original Axios may bring. Definitely I would like to stick to primary.

#### Additional context
No solution is found around the original source.

test/unit/adapters/http.js
}).listen(4444, function () {
        axios.get('http://localhost:4444/').then(function (res) {
          assert.deepEqual(res.data, data);
          done();
        }).catch(done);
      });
    });
  });
  it('should support gunzip error handling', function (done) {
    server = http.createServer(function (req, res) {
      res.setHeader('Content-Type', 'application/json');
      res.setHeader('Content-Encoding', 'gzip');
      res.end('invalid response');
    }).listen(4444, function () {
      axios.get('http://localhost:4444/').catch(function (error) {
        done();
      }).catch(done);
    });
  });
  it('should support disabling automatic decompression of response data', function(done) {
    var data = 'Test data';
    zlib.gzip(data, function(err, zipped) {
      server = http.createServer(function(req, res) {
        res.setHeader('Content-Type', 'text/html;charset=utf-8');
        res.setHeader('Content-Encoding', 'gzip');
        res.end(zipped);
      }).listen(4444, function() {
        axios.get('http://localhost:4444/', {
          decompress: false,
          responseType: 'arraybuffer'