IIRC, you're not supposed to set the proxy through the Mech user agent object, too, when you're using Crypt::SSLeay and the environment variable HTTPS_PROXY — Crypt::SSLeay should handle it transparently all by itself...  So, try to remove 'https' from

$mech->proxy(['https', 'http', 'ftp'], 'my_proxy:8080');
[download]

( or maybe even explicitly put $mech->proxy('https', undef); )