#### 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
assert.equal(error.message, 'Request body larger than maxBodyLength limit');
        done();
      }, 100);
    });
  });
  it('should display error while parsing params', function (done) {
    server = http.createServer(function () {
    }).listen(4444, function () {
      axios.get('http://localhost:4444/', {
        params: {
          errorParam: new Date(undefined),
        },
      }).catch(function (err) {
        assert.deepEqual(err.exists, true)
        done();
      }).catch(done);
    });
  });
  it('should support sockets', function (done) {
    // D
    var socketName = './test.sock';
    if (process.platform === 'win32') {
      socketName = '\\\\.\\pipe\\libuv-test';
    }
    server = net.createServer(function (socket) {
      socket.on('data', function () {
        socket.end('HTTP/1.1 200 OK\r\n\r\n');
      });
    }).listen(socketName, function () {
      axios({