I have merged from master and simplified somewhat. I hope this also works. Can you confirm if it does?

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@rix0rrr
Your solution is not working because node-proxy-agent has validation on protocol.
https://github.com/TooTallNate/node-proxy-agent/blob/3f4571097d22c9b9ac399d5b060c36b6e2caa993/index.js#L99
It fails with error: You must specify a "protocol" for the proxy type (http, https, socks, socks4, socks4a, socks5, socks5h, pac+data, pac+file, pac+ftp, pac+http, pac+https) when no proxy variable is specified. Did you tested it?
If you wanna rewrite it you cannot create ProxyAgent via object without fields like protocol slashes host or hostname and port. See sources of ProxyAgent module line 99.
If my solution is ugly for cdk, feel free to rewrite it but please test it.
But I would prefer my original solution. It works with proxy only also with ca only and both. I don't have options to test all possibilites. I did minimal changes to sdk-provider. If you wanna do refactoring do it in separate feature, not in bug fix.
#5804 is classified as feature request but it is really bug. And it is not fixed since Jan 2020.

And your solution tries to read HTTP_PROXY env variable only, but CDK has also command line parameters to set proxy. You cannot ignore command line parameters. You must read proxy settings like this:
const proxyAddress = options.proxyAddress || httpsProxyFromEnvironment();

I am looking for source of this. It seems that it was introduced by commit ceab036 when somebody fixed #16751. He removed command line parameters reading and changed to create ProxyAgent without parameters. Now it is even worse. CDK does not support CA bundle and proxy at the same time and ignores --proxy command line parameter and it does not warn about this.

So what should I do? It can't be merged as is now.
I need support for custom CA bundle and also proxy support.
Should I close this PR and start to try something else from beginning on current master?
I can, but after creation of PR I can't wait month for reply.
I am wondering if custom fork or custom patching after npm install will not be faster for me, than fixing this.

@rix0rrr
This code works for me, now. It does not break ceab036 but it changes load of CA bundle. I don't have direct connection so I can test proxy settings (via env and also command line) with and without CA bundle. I can test direct connection (via aws c9). But I can't test direct connection without proxy with custom CA bundle.

    const proxyAddress = options.proxyAddress;
    const caBundlePath = options.caBundlePath || caBundlePathFromEnvironment();

    if (proxyAddress) {
        logging_1.debug('Using proxy server: %s', proxyAddress);
    }

    if (caBundlePath) {
        logging_1.debug('Using CA bundle path: %s', caBundlePath);
        config.httpOptions.ca = readIfPossible(caBundlePath);
    }

    // Configure the proxy agent. By default, this will use HTTPS?_PROXY and
    // NO_PROXY environment variables to determine which proxy to use for each
    // request.
    //
    // eslint-disable-next-line @typescript-eslint/no-require-imports
    const ProxyAgent = require('proxy-agent');
    config.httpOptions.agent = new ProxyAgent(proxyAddress);