Support http proxy correctly

[134130]

What type of PR is this? (check all applicable)

• Refactor
• Feature
• Bug Fix
• Optimization
• Documentation Update
• Go Version Update
• Dependency Update

Description

• Currently, the gorilla/websocket's HTTP Proxy implementation is only supports CONNECT proxy, which can be called as "Tunnel Proxy".
• But there is another HTTP Proxy:
  • At the TCP level, the request is made to the Proxy address.
  • But the Host in the HTTP request is different.
• �Typically, the HTTP_PROXY environment variable works as later one, and the HTTPS_PROXY environment variable works as "Tunnel Proxy".
  • Many applications, including curl and go http client, follow this behavior.
  • So there is a reason, why Why does specifying the proxy address not work? #892 is issued.
• I have referenced the golang's http/transport implementation: https://github.com/golang/go/blob/master/src/net/http/transport.go#L1744

Related Tickets & Documents

• Closes Why does specifying the proxy address not work? #892

Added/updated tests?

• Yes
• No, and this is why: please replace this line with details on why tests
  have not been included
• I need help with writing tests

Run verifications and test

• make verify is passing
• make test is passing

No Makefile I can find. I have tested with go test ./...
Also, I have wrote the integration tests like this: https://github.com/134130/websocket/blob/proxy-test/proxy_test.go

[134130]

I want to make another PR which closes #739 after this Pull Requests is merged.
@gorilla/pull-request-reviewers can you review this PR?