Possible issue with proxies and TLS versions when using a session.

Using a session or a request object with the same parameters should yield the same results.

When a proxy is used, and when the target website supports TLS 1.0 and TLS 1.1 (or does not support TLS 1.3, I could not figure it out), a request object works fine, whereas a session throws a SSL Error.

## Expected Result

```python
import requests

proxies = {
  'http': 'http://127.0.0.1:8888',
  'https': 'http://127.0.0.1:8888',
}

requests.get('https://sidep.gouv.fr/', proxies=proxies)

session = requests.Session()
session.proxies.update(proxies)
session.get('https://sidep.gouv.fr/')
```

The two ways to get the data should yield the same result.

## Actual Result

The request works, but not with the session:

```
HTTPSConnectionPool(host='sidep.gouv.fr', port=443): Max retries exceeded with url: / (Caused by SSLError(SSLError(1, '[SSL: WRONG_VERSION_NUMBER] wrong version number (_ssl.c:997)')))
Traceback (most recent call last):
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\connectionpool.py", line 696, in urlopen
    self._prepare_proxy(conn)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\connectionpool.py", line 964, in _prepare_proxy
    conn.connect()
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\connection.py", line 364, in connect    
    conn = self._connect_tls_proxy(hostname, conn)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\connection.py", line 501, in _connect_tls_proxy
    socket = ssl_wrap_socket(
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\util\ssl_.py", line 453, in ssl_wrap_socket
    ssl_sock = _ssl_wrap_socket_impl(sock, context, tls_in_tls)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\util\ssl_.py", line 495, in _ssl_wrap_socket_impl
    return ssl_context.wrap_socket(sock)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\ssl.py", line 512, in wrap_socket
    return self.sslsocket_class._create(
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\ssl.py", line 1070, in _create
    self.do_handshake()
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\ssl.py", line 1341, in do_handshake
    self._sslobj.do_handshake()
ssl.SSLError: [SSL: WRONG_VERSION_NUMBER] wrong version number (_ssl.c:997)

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\requests\adapters.py", line 439, in send        
    resp = conn.urlopen(
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\connectionpool.py", line 755, in urlopen
    retries = retries.increment(
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\urllib3\util\retry.py", line 574, in increment  
    raise MaxRetryError(_pool, url, error or ResponseError(cause))
urllib3.exceptions.MaxRetryError: HTTPSConnectionPool(host='sidep.gouv.fr', port=443): Max retries exceeded with url: / (Caused by SSLError(SSLError(1, '[SSL: WRONG_VERSION_NUMBER] wrong version number (_ssl.c:997)')))

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\runpy.py", line 196, in _run_module_as_main
    return _run_code(code, main_globals, None,
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\runpy.py", line 86, in _run_code
    exec(code, run_globals)
  File "c:\Users\Max\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy\__main__.py", line 45, in <module>
    cli.main()
  File "c:\Users\Max\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy/..\debugpy\server\cli.py", line 444, in main
    run()
  File "c:\Users\Max\.vscode\extensions\ms-python.python-2021.12.1559732655\pythonFiles\lib\python\debugpy/..\debugpy\server\cli.py", line 285, in run_file
    runpy.run_path(target_as_str, run_name=compat.force_str("__main__"))
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\runpy.py", line 269, in run_path
    return _run_module_code(code, init_globals, run_name,
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\runpy.py", line 96, in _run_module_code
    _run_code(code, mod_globals, init_globals,
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\runpy.py", line 86, in _run_code
    exec(code, run_globals)
  File "c:\Users\Max\testssl.py", line 16, in <module>
    raise e
  File "c:\Users\Max\testssl.py", line 13, in <module>
    session.get('https://sidep.gouv.fr/')
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\requests\sessions.py", line 555, in get
    return self.request('GET', url, **kwargs)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\requests\sessions.py", line 542, in request     
    resp = self.send(prep, **send_kwargs)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\requests\sessions.py", line 655, in send        
    r = adapter.send(request, **kwargs)
  File "C:\Users\Max\AppData\Local\Programs\Python\Python310\lib\site-packages\requests\adapters.py", line 514, in send        
    raise SSLError(e, request=request)
requests.exceptions.SSLError: HTTPSConnectionPool(host='sidep.gouv.fr', port=443): Max retries exceeded with url: / (Caused by SSLError(SSLError(1, '[SSL: WRONG_VERSION_NUMBER] wrong version number (_ssl.c:997)')))
```

When using a TLS 1.3 enabled (which seem to mean TLS 1.0 and 1.1 disabled) website, both versions work, for example:

```python
import requests

proxies = {
  'http': 'http://127.0.0.1:8888',
  'https': 'http://127.0.0.1:8888',
}

requests.get('https://example.com/', proxies=proxies)

session = requests.Session()
session.proxies.update(proxies)
session.verify = False
session.get('https://example.com/')
```

Without the proxy, it works fine for both websites. I spend a couple hours trying with many websites to figure out the breaking cause, and I believe it is the TLS version.

## System Information

```json
{
  "chardet": {
    "version": null
  },
  "charset_normalizer": {
    "version": "2.0.9"
  },
  "cryptography": {
    "version": ""
  },
  "idna": {
    "version": "3.3"
  },
  "implementation": {
    "name": "CPython",
    "version": "3.10.1"
  },
  "platform": {
    "release": "10",
    "system": "Windows"
  },
  "pyOpenSSL": {
    "openssl_version": "",
    "version": null
  },
  "requests": {
    "version": "2.26.0"
  },
  "system_ssl": {
    "version": "101010cf"
  },
  "urllib3": {
    "version": "1.26.7"
  },
  "using_charset_normalizer": true,
  "using_pyopenssl": false
}
```


Update: by analogy with https://github.com/psf/requests/issues/5943, downgrading to urllib 1.25.11 makes it work in all cases.

I'm facing this same issue. Despite being used as the [example in the proxies documentation](https://requests.readthedocs.io/en/latest/user/advanced/#proxies), using a URL with `http://` scheme prefix with the `https` key in the proxies dictionary results in a `requests.exceptions.SSLError`, or worse, seems to hang indefinitely in CI.

Simple example to help repro:

```python3
import requests

proxies = {
    "https": "http://myproxy:port",
    "http": "http://myproxy:port",
}
requests.get(some_url, proxies=proxies, verify=False)
```

never connects to the proxy. There also don't seem to be any test cases for this, which is perhaps why it wasn't caught before now.

Edit: Seeing this with requests-2.32.2, urllib3-2.2.1. Pinning urllib3 to 1.25.11 does seem to resolve this, will open or update an issue there.

On investigating a bit closer, it seems that perhaps the thrown exception is expected behavior in more recent versions of `urllib3`: https://github.com/urllib3/urllib3/pull/2613. So at the least, the `requests` documentation should be updated, but it would be great if there were a fix to this regression in terms of what users expect from `requests`.