The default conda connect timeout is 9.15 seconds (no idea why this is, seems to have been the case from day one). If the proxy is slow, e.g. it is in another country or AWS region, this timeout can be triggered and conda will prematurely close the connection.
To diagnose this issue, attempt
curl https://repo.anaconda.com/pkgs/main/linux-64/current_repodata.json
with proxies enabled. If that works then increase the connect timeout as follows
conda config --set remote_connect_timeout_secs 30
conda should now be able to update and install new packages etc.