HTTP CONNECT request sent in different packets while using an HTTPS Proxy 

When using an HTTPS proxy, HTTP headers (and other parts of the request) are sent at different times then the initial HTTP `CONNECT` method, causing _some_ proxy services to abort the connection. 

## Expected Result

The entire HTTP request should be sent in the same packet as the `CONNECT` method. 

## Actual Result

HTTP Headers and trailing `\r\n` are sent at a different time. 

You can see this in the Wireshark Capture:

First Packet contains the HTTP CONNECT (from [here](https://github.com/python/cpython/blob/master/Lib/http/client.py#L895-L898)) 

![screen shot 2018-11-28 at 15 55 17](https://user-images.githubusercontent.com/1035793/49182352-10bf1600-f328-11e8-8f8b-8b78694ad125.png)

Second packet shows the left over `\r\n` (from [here](https://github.com/python/cpython/blob/master/Lib/http/client.py#L903))

![screen shot 2018-11-28 at 15 56 05](https://user-images.githubusercontent.com/1035793/49182338-06048100-f328-11e8-988b-b3268ec1d0e7.png)

This results in _some_ proxy servers aborting the connection.

## Reproduction Steps

```
>>> import requests
>>> proxies = { 'https': 'https://someproxy:443' }
>>> requests.get('https://www.google.com', proxies=proxies)
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/Users/user/Library/Python/2.7/lib/python/site-packages/requests/api.py", line 70, in get
    return request('get', url, params=params, **kwargs)
  File "/Users/user/Library/Python/2.7/lib/python/site-packages/requests/api.py", line 56, in request
    return session.request(method=method, url=url, **kwargs)
  File "/Users/user/Library/Python/2.7/lib/python/site-packages/requests/sessions.py", line 475, in request
    resp = self.send(prep, **send_kwargs)
  File "/Users/user/Library/Python/2.7/lib/python/site-packages/requests/sessions.py", line 596, in send
    r = adapter.send(request, **kwargs)
  File "/Users/user/Library/Python/2.7/lib/python/site-packages/requests/adapters.py", line 485, in send
    raise ProxyError(e, request=request)
requests.exceptions.ProxyError: HTTPSConnectionPool(host='www.google.com', port=443): Max retries exceeded with url: / (Caused by ProxyError('Cannot connect to proxy.', error(54, 'Connection reset by peer')))
```


## System Information
```
$ python -V
Python 2.7.11
```
(Same behavior on Python 3)

MacOSX

## Work Around
The following work around sends the entire HTTP `CONNECT` request at the same time:

https://gist.github.com/brad-anton/ff517025a86754793b680b3c5cfc9797



This is an issue with urllib3, maybe we can use that new issue moving feature! :)

@SethMichaelLarson I gave it a whirl but it looks like we can only move between repos in this org. @brad-anton would you mind making an issue in the urllib3 repo referencing this? Then we can close this out after. Thanks!

Shame, I was looking forward to exchanging so many issues back and forth with our sister project. :)

We’ll get there :) Incremental progress.

This was [fixed in CPython 3.10](https://github.com/python/cpython/pull/24780) and thus in both urllib3 and Requests.