Add proxy support for websocket connect #6402

Job	Run time
Test (nightly)	36s
Test (macOS)	1m 42s
MSRV	1m 1s
Check minimal versions	54s
Build docs	35s
Test (beta)	1m 58s
Test (native-tls)	1m 45s
Test (Windows)	5m 21s
Test (stable)	1m 56s
Test (no cache)	1m 49s
Test (no default features)	53s
Test (no gateway)	1m 28s
Examples	3m 55s
Test (unstable Discord API features)	1m 57s
Test (simd-json)	1m 52s
Test (chrono, chrono)	1m 17s
Test (builder without model, builder, true)	39s
Test (unstable Discord API (no default features), unstable_discord_api, true)	37s
Test (unstable API + typesize, default unstable_discord_api typesize, true)	1m 13s
	31m 28s

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