Martin, I went through your patch and made some simple tests, and I have a couple of questions.

1) When I run the following code, I get a "Bad file descriptor" :

conn = httplib.HTTPConnection("uk.proxymesh.com", 31280)
conn.set_tunnel("www.google.com", 80)
conn.request("GET", "/")
resp = conn.getresponse()
print(resp.read())

So I tweaked the "getresponse" function so that it does not call "self.close()" (i.e. the connection stays open after the CONNECT request) in that case, and it seems to works fine.

2) I added "self.sock, _ = tunnel" in HTTPConnection constructor, to try your use case, but I get "http.client.RemoteDisconnected: Remote end closed connection without response".

Do you think it makes sense or am I missing something ?