@Abhijeet Wagh The Azure SDKs use the default language specific HTTP Clients internally and hence have the same configuration requirements for proxies.
You can refer to this official documentation which shows the required environment variables to use a proxy.
As for the SSL Certificate, a similar OS-specific configuration would be needed. For example, in Windows this document outlines the steps required to add a trusted root certificate.
That being said, it would be better to leverage a free certificate from a service like Let's Encrypt to better secure your proxy if possible.