Using a proxy/VPN in WSL (Windows Subsystem Linux)
This was something we thought would have been implemented immediately. However it was not.
There is a way. It is a manual edit to the resolv.conf
Once you have done this, you should be able to use all of your regular Linux tools with full web connectivity behind your Proxy/VPN.
You will need to do this each time you launch the WSL behind a Proxy/VPN, The file /etc/resolv.conf has instructions on how to stop it from generating itself automatically but I do not suggest doing that to keep the sanity of WSL Distro’s intact between updates/upgrades.