Actually it looks like the link I posted showed someone trying to connect to a forward proxy like I am, but the method is a little different. My original post is the most descriptive.

eggnet Wrote:
-------------------------------------------------------
> Unfortunately, we are trying to connect to Squid
> in forward proxy mode. I found someone else
> trying to do the same thing:
>
> http://marc.info/?l=nginx&m=123075443918107&w=2
>
> But no luck there.
>
> In forward proxy mode, it is standard to pass the
> full URL in the GET line, and not just the part
> after the host, but I don't see any option in
> nginx to do this.