Add proxy configuration to tracking_uri in MLFlow

Question

I'm using MLFlow and I'm behind a proxy. How can I add the proxy information to the tracking_uri for MlFlowClient call? I tried using environment variables but that also didn't work:

os.environ["MLFLOW_TRACKING_URI"] = "https://mlflow-sandbox.dev.server"
os.environ["HTTPS_PROXY"] = "http://web.prod.proxy.com:4200"
os.environ["HTTP_PROXY"]="http://web.prod.proxy.com:4200"

with and without authentication.