A simple script, trying connect to second ssl through first sever doesn't work:

import socket, ssl

sock = socket.socket()
sock.connect(('<FIRST_SERVER>', 443))
ctx = ssl.SSLContext(ssl.PROTOCOL_TLS_CLIENT)
ctx.check_hostname = False
ctx.verify_mode = ssl.CERT_NONE
sock = ctx.wrap_socket(sock)
sock.send(b'CONNECT <SECOND_SERVER>:443 HTTP/1.1\r\n\r\n')
print(sock.recv(1024))
ctx = ssl.SSLContext(ssl.PROTOCOL_TLS_CLIENT)
ctx.check_hostname = False
ctx.verify_mode = ssl.CERT_NONE
sock = ctx.wrap_socket(sock)
sock.do_handshake()
sock.send(b'CONNECT ifconf.me:80 HTTP/1.1\r\n\r\n')
print(sock.recv(1024))


b'HTTP/1.1 200 Connection established\r\n\r\n'
Traceback (most recent call last):
  File "C:\Users\Javad\Desktop\4.py", line 15, in <module>
    sock = ctx.wrap_socket(sock)
  File "E:\Categories\Python\Python3.9.6\lib\ssl.py", line 500, in wrap_socket
    return self.sslsocket_class._create(
  File "E:\Categories\Python\Python3.9.6\lib\ssl.py", line 1040, in _create
    self.do_handshake()
  File "E:\Categories\Python\Python3.9.6\lib\ssl.py", line 1309, in do_handshake
    self._sslobj.do_handshake()
ConnectionResetError: [WinError 10054] An existing connection was forcibly closed by the remote host

You cannot wrap an SSLSocket in another SSLSocket. It doesn't work due to the way how OpenSSL's BIO layer wraps the system socket. You have to use  SSLObject and SSLContext.wrap_bio() for the inner layer.

Is there any public document about this or can you give me an example? I can't figure it out what's the incoming and outgoing.