Support CONNECT requests

[carllerche]

CONNECT requests have a number of special requirements. Currently, no focus has been put on making this work.

This is a continuation of #228.

[nox]

@kornelski did a PR to support some details at the end of January, does anyone know what's missing still?

[nox]

AFAIK, this can be closed thanks to #534, I don't think any other requirement is related to this crate itself, just proxies using it.