#### 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.

lib/adapters/http.js
'use strict';
var utils = require('./../utils');
var settle = require('./../core/settle');
var buildFullPath = require('../core/buildFullPath');
var buildURL = require('./../helpers/buildURL');
var http = require('http');
var https = require('https');
var httpFollow = require('follow-redirects').http;
var httpsFollow = require('follow-redirects').https;
var url = require('url');
var zlib = require('zlib');
var VERSION = require('./../env/data').version;
var transitionalDefaults = require('../defaults/transitional');
var AxiosError = require('../core/AxiosError');
var CanceledError = require('../cancel/CanceledError');
var isHttps = /https:?/;
var supportedProtocols = [ 'http:', 'https:', 'file:' ];
/**
 *
 * @param {http.ClientRequestArgs} options
 * @param {AxiosProxyConfig} proxy
 * @param {string} location
 */
function setProxy(options, proxy, location) {