Following the "which pythonbrew" and doing some guessing the following solved my problem: I changed the curl.py file under /usr/local/pythonbrew/scripts/pythonbrew adding proxy setting to read, readheader and fetch functions as follows:
before modification:
p = Popen('curl -skL "%s"' % url, stdout=PIPE, shell=True)
after modification:
p = Popen('curl -x http://<proxy host>:<proxy port> -skL "%s"' % url, stdout=PIPE, shell=True)
I am not sure why there was no output without the proxy setting, but now the install works!