Proxy-Connection header is being sent to the http server over an SSL tunnel. The Proxy-Connection header is only of interest to the proxy. You can see in our sun.net.www.protocol.http.HttpURLConnection.writeRequests() that we do not check if we are in a tunnel situation before setting this header.
When tunneling through a proxy then the proxy is essentially just forwarding the data and does not interpret it. We do not need to set this header and may cause issues with http servers that do not interpret it correctly.