It's a pip connection problem. If you are using Proxy it should be connected via proxy. First of all check if you have been connected to your proxy server using this command.
C:\>netsh winhttp show proxy
If is gives this result.
Current WinHTTP proxy settings:
Direct access (no proxy server).
Then it means that you haven't been connected to proxy server. Please set the proxy using the commands below.
set http_proxy=http://username:password@proxyserver:proxyport
set https_proxy=https://username:password@proxyserver:proxyport
For more info, checkout this link.