@Shahnawaz I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to "Accept " the answer.
Issue: You are facing issues connecting to Azure Cosmos DB using a corporate proxy. you have tried passing the proxy information using "ProxyConfiguration" or "ConnectionPolicy" but unable to establish a connection. However, setting the proxy at the OS level works, but it affects other API calls as well.
Solution: As you mentioned you found that both ProxyConfiguration() and ConnectionPolicy() is not configured correctly, and you were able to resolve the issue by passing the proxies in *kwarg
client = CosmosClient(URL, credential=KEY, proxies={"https":"hostname:port"})
Thank you again for sharing your findings, If you have any other questions or are still running into more issues, please let me know. Thank you again for your time and patience throughout this issue.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.
Regards
Geetha