Please check on the command line the following syntax.
check_http -I PROXYHOST -p PROXYPORT -H FQDN -u RELATIVE-URI -S -j CONNECT
If this is working you have only to find the correct settings for the WATO rule or configure this check with classic active / passive checks 
from the check_http man page
CHECK SSL WEBSERVER CONTENT VIA PROXY USING HTTP 1.1 CONNECT:
check_http -I 192.168.100.35 -p 80 -u https://www.verisign.com/ -S -j CONNECT -H www.verisign.com
all these options are needed: -I <proxy> -p <proxy-port> -u <check-url> -S(sl) -j CONNECT -H <webserver>
a STATE_OK will be returned. When the server returns its content but exceeds
the 5-second threshold, a STATE_WARNING will be returned. When an error occurs,
a STATE_CRITICAL will be returned. By adding a colon to the method you can set the method used
inside the proxied connection: -j CONNECT:POST
```