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I have found the problem. It was actually a code issue. I am using Golang. The problem was that I was configuring the Proxy as:

*httpsCl = http.Client{
Transport: &http.Transport{
Proxy: http.ProxyURL(proxyUrl),
TLSClientConfig: tlsConfig
},
}
and in doing so the private server was expecting to talk to the Proxy which does not work if we are using SSL passthrough. Instead I had to configure the proxy as:

*httpsCl = http.Client{
Transport: &http.Transport{
Dial: func(network, addr string) (net.Conn, error){
return net.Dial("tcp", proxyUrl.Host)
},
TLSClientConfig: tlsConfig
},
}
Thanks all!