I get errors when using pip with a proxy in 3.4.1rc1 on Windows, that does not happen on 3.4.0.
I tracked it down to this change to client.py.
OK with client.py from fd2c69cedb25, but not with client.py from 39ee3286d187.

C:\Python34\Scripts>set HTTP_PROXY=http://openwrt.lan:8888

C:\Python34\Scripts>set HTTPS_PROXY=http://openwrt.lan:8888

C:\Python34\Scripts>pip -v install simplejson
Downloading/unpacking simplejson
  Could not fetch URL https://pypi.python.org/simple/simplejson/: connection err
or: hostname 'openwrt.lan' doesn't match either of '*.c.ssl.fastly.net', 'c.ssl.
fastly.net', '*.target.com', '*.vhx.tv', '*.snappytv.com', '*.atlassian.net', 'p
laces.hoteltonight.com', 'secure.lessthan3.com', '*.atlassian.com', 'a.sellpoint
.net', 'cdn.upthere.com', '*.tissuu.com', '*.issuu.com', '*.kekofan.com', '*.pyt
hon.org', '*.theverge.com', '*.sbnation.com', '*.polygon.com', '*.twobrightlight
s.com', '*.2brightlights.info', '*.vox.com', 'staging-cdn.upthere.com', '*.zeebo
x.com', '*.beamly.com', '*.aticpan.org', 'stream.svc.7digital.net', 'stream-test
.svc.7digital.net', '*.articulate.com', 's.t.st', 'vid.thestreet.com', '*.planet
-labs.com', '*.url2png.com', 'turn.com', 'www.turn.com', 'rivergathering.org', '
social.icfglobal2014-europe.org', '*.innogamescdn.com', '*.pathable.com', '*.sta
ging.pathable.com', '*.kickstarter.com', 'sparkingchange.org', 'www.swedavia.se'
, 'www.swedavia.com', 'js-agent.newrelic.com', '*.fastly-streams.com', 'cdn.bran
disty.com', 'fastly.hightailcdn.com', '*.fl.yelpcdn.com', '*.feedmagnet.com', 'a
pi.contentbody.com', '*.acquia.com', '*.swarmapp.com', '*.lonny.com', '*.stylebi
stro.com', '*.zimbio.com', '*.pypa.io', 'pypa.io', 'static.qbranch.se', '*.krxd.
net', '*.room.co', '*.metrological.com', 'room.co', 'www.ibmserviceengage.com',
'my.ibmserviceengage.com', 'cdn.evbuc.com', 'cdn.adagility.com'
  Will skip URL https://pypi.python.org/simple/simplejson/ when looking for down
load links for simplejson