Using HTTP Proxy : Sphere not connecting to IOT central

Question

We have a scenario where we have a internal WIFI network that has no internet connection.

On the same internal network, we have a linux machine with Squid Proxy installed.

The sphere's are connecting to the private WIFI network and are configured to use the proxy.

The list-interfaces command verifies that the ConnectedToInternet is TRUE

However the spheres are unable to communicate with DPS / IOT Hub (IOT Central) - error reported is PROV_DEVICE_RESULT_DEV_AUTH_ERROR

If we switch to a wifi network that has internet connectivity - and disable the proxy config on the sphere - all works fine - so we know our allowed connections are fine.

ALL restrictions on the proxy have been disabled - allowing all traffic through.
I'm also able to browse any site without issue via the proxy from my laptop.

Any advise would be appreciated!