Sahi had been using its own custom implementation of proxy tunneling till a few months back. Owing to a lot of demand for some features, we moved to Java's https url connection which supported tunneling through a corporate proxy with authentication.
But unfortunately, a bug in Java's https URL connection was tripping up a few users on some https sites. One case was the failure of websites using login via SiteMinder.
The exception thrown was Unable to tunnel through proxy. Proxy returns "HTTP/1.1 400 Bad Request"
After some research we figured that it was due to this bug 6687282
Switching to the latest Java 1.6.0_14 fixed this issue for us.