After implementation switched from request to axios SDK stops correctly working behind HTTP proxy.
SDK version which uses 'request' lib works correct.
Configuration like: HTTPS_PROXY is set to url with http protocol, like: HTTPS_PROXY=http://some.domain.com:8080
This can be related to axios/axios#6320 issue.
Also maybe this axios/axios#959 can help to fix it not changing axios to some another lib.