PyJWKClient: Support for proxy in fetch_data()

[PeterRistMHP]

Hi,

PyJWKClient currently doesn't support the usage of proxies when using get_signing_key_from_jwt() and then fetch_data():

r = urllib.request.Request(url=self.uri, headers=self.headers)
            with urllib.request.urlopen(
                r, timeout=self.timeout, context=self.ssl_context
            ) as response:
....

I would like to initialize the PyJWKClient with a proxy URI and set it on the Request in the fetch_data()

if self.proxy_host:
    r.set_proxy(self.proxy_host, 'https') 

I haven't found anything in the closed issues or the discussions yet, and was wondering if nobody needed a proxy - or there is a different option I'm not aware right now.

Thank you.