#### 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
axios.get('http://localhost:4444')
        .then(function (res) {
          assert.equal(res.request.agent.protocol, 'http:');
          done();
        })
    })
  });
  it('should support HTTPS protocol', function (done) {
    server = http.createServer(function (req, res) {
      setTimeout(function () {
        res.end();
      }, 1000);
    }).listen(4444, function () {
      axios.get('https://www.google.com')
        .then(function (res) {
          assert.equal(res.request.agent.protocol, 'https:');
          done();
        })
    })
  });
  it('should return malformed URL', function (done) {
    var success = false, failure = false;
    var error;
    server = http.createServer(function (req, res) {
      setTimeout(function () {
        res.end();
      }, 1000);
    }).listen(4444, function () {
      axios.get('tel:484-695-3408')
        .then(function (res) {