private boolean createTunnelToProxy(
            final HttpRoute route,
            final int hop,
            final HttpClientContext context) throws HttpException {

        // Have a look at createTunnelToTarget and replicate the parts
        // you need in a custom derived class. If your proxies don't require
        // authentication, it is not too hard. But for the stock version of
        // HttpClient, we cannot make such simplifying assumptions and would
        // have to include proxy authentication code. The HttpComponents team
        // is currently not in a position to support rarely used code of this
        // complexity. Feel free to submit patches that refactor the code in
        // createTunnelToTarget to facilitate re-use for proxy tunnelling.

        throw new HttpException("Proxy chains are not supported.");
    }
Creates a tunnel to an intermediate proxy.
This method is <i>not</i> implemented in this class.
It just throws an exception here.
httpclient5/src/main/java/org/apache/hc/client5/http/impl/classic/ConnectExec.java