Setting HTTP_PROXY, HTTPS_PROXY uppercase do not work.

[aminvakil]

This reminds me of a problem which I've faced a while ago, setting HTTP_PROXY, HTTPS_PROXY does not work, it should be lowercase.

There are lots of packages which work this way (either lowercase or uppercase), but maybe we can support both, this should be left for another PR though.

Originally posted by @aminvakil in #3944 (comment)

[aminvakil]

Closed in favour of #3948.