Nice. At first my thoughts were too complicated.
Now you can try more restricted settings on the environment variable
set JULIA_NO_VERIFY_HOSTS=**
like remove it completely (same for JULIA_SSL_NO_VERIFY_HOSTS).
or
set JULIA_NO_VERIFY_HOSTS=**.github.com
or similar. The syntax is documented here:
The reason for the problems is probably, that libcurl isn’t able to use the system proxy settings, because they are defined in a proxy script. But this is speculation, I haven’t checked if this is the case.