puppeteer: [Bug]: Chromium download over http proxy fails

Bug description

Steps to reproduce the problem:

1. Have a proxy server setup, and set HTTP_PROXY and HTTPS_PROXY environment variables to point to it, both as http:// urls.
2. Install puppeteer
3. Download of Chromium during install fails with ERR_INVALID_PROTOCOL

It appears that this is happening because we are proxying HTTPS over an HTTP proxy.

Puppeteer version

5.5.0

Node.js version

16.9.1

npm version

7.21.1 (but we use yarn, version 1.22.5)

What operating system are you seeing the problem on?

Linux

Relevant log output

2021-09-23T19:25:57.805Z puppeteer:fetcher Downloading binary from https://storage.googleapis.com/chromium-browser-snapshots/Linux_x64/818858/chrome-linux.zip
ERROR: Failed to set up Chromium r818858! Set "PUPPETEER_SKIP_DOWNLOAD" env variable to skip download.
TypeError [ERR_INVALID_PROTOCOL]: Protocol "https:" not supported. Expected "http:"
    at new NodeError (node:internal/errors:371:5)
    at new ClientRequest (node:_http_client:158:11)
    at Object.request (node:https:353:10)
    at httpRequest (<REDACTED>/node_modules/puppeteer/lib/cjs/puppeteer/node/BrowserFetcher.js:488:17)
    at downloadFile (<REDACTED>/node_modules/puppeteer/lib/cjs/puppeteer/node/BrowserFetcher.js:357:21)
    at BrowserFetcher.download (<REDACTED>/node_modules/puppeteer/lib/cjs/puppeteer/node/BrowserFetcher.js:239:19)
    at async downloadBrowser (<REDACTED>/node_modules/puppeteer/lib/cjs/puppeteer/node/install.js:48:5) {
  code: 'ERR_INVALID_PROTOCOL'
}