Looking at stack trace you’ve provided your error is caused by httplib.BadStatusLine exception, which, according to docs, is:
Raised if a server responds with a HTTP status code that we don’t understand.
In other words something that is returned (if returned at all) by proxy server cannot be parsed by httplib that does actual request.
From my experience with (writing) http proxies I can say that some implementations may not follow specs too strictly (rfc specs on http aren’t easy reading actually) or use hacks to fix old browsers that have flaws in their implementation.
So, answering this:
Could it be a bad proxy?
… I’d say – that this is possible. The only real way to be sure is to see what is returned by proxy server.
Try to debug it with debugger or grab packet sniffer (something like Wireshark or Network Monitor) to analyze what happens in the network. Having info about what exactly is returned by proxy server should give you a key to solve this issue.