Yum fails with "TCP Connection reset by peer" behind a bluecoat proxy

Issue

# yum update
...
* Establish HTTP proxy tunnel to cdn.redhat.com:443
...
* NSS error -5961 (PR_CONNECT_RESET_ERROR)
* TCP connection reset by peer
* Closing connection
exception: [Errno 14] curl #35 - "TCP connection reset by peer"
calling callback: (<bound methto YumBaseCli.failureReport of <cli.YumBaseCli object at 0x7f522fa1521°>>, (), {}) https://cdn.redhat.com/content/dist/rhel/server/7/7Server/x86_64/os/repodata/repomd.xml: [Errno 14] curl #35 - "TCP connection reset by peer"
Trying other mirror.
MIIROR: failed