He utilizado el siguiente código para conectarme al servidor proxy y funciona muy bien solo para solicitudes HTTP pero no para HTTPS. En iOS 9.0,kCFStreamPropertyHTTPSProxyHost ykCFStreamPropertyHTTPSProxyPort son depreciados

let myPortInt = 12345;
let myProxyUrlString = "myProxyURL";

    let sessionConfiguration = NSURLSessionConfiguration.defaultSessionConfiguration();
    sessionConfiguration.connectionProxyDictionary = [
        kCFNetworkProxiesHTTPEnable: true,
        kCFNetworkProxiesHTTPPort: myPortInt,
        kCFNetworkProxiesHTTPProxy: myProxyUrlString,
    ]
    let url = NSURL(string: endPointUrl)
    let postRequest = NSMutableURLRequest(URL: url!, cachePolicy: NSURLRequestCachePolicy.ReloadIgnoringLocalAndRemoteCacheData, timeoutInterval: 10.0)


    let jsonString =  bodyString
    postRequest.HTTPBody = jsonString 
    postRequest.HTTPMethod = "POST"
    postRequest.setValue("application/json", forHTTPHeaderField: "Content-Type")

    let session = NSURLSession(configuration: sessionConfiguration)       
    let task = session.dataTaskWithRequest(postRequest){}