This is my journey into setting a forward proxy on a Windows Box. After a very short thinking, decided to use a docker to get something running without the hassle of installation.
After some research, found out that nginx is not meant to be a forward proxy but rather a web server and/or a reverse proxy. By trying myself, I realized that the issue appears when trying to prxy https traffic.
However, I found that there is a module fixing the issue, as discussed in https://github.com/reiz/nginx_proxy
After some more research, I found that there is another popular forward proxy, squid. Squid is pretty sophisticated when it comes to configuration. In my case, I just wanted to allow access to all eternal sites. So, I modify the default configuration to achieve that.