Did you follow our Proxy page?
https://code.google.com/p/security-onion/wiki/Proxy
Have you tried running "sudo -i rule-update" to see if that makes any
difference?
Please attach your /etc/environment file (redacted if necessary).
Does the proxy do any HTTPS MITM?
Does the proxy allow you to connect to https://rules.emergingthreatspro.com?
Are you able to access that URL from a standard browser?
The same request to wget the snort rules via the proxy works fine.
Quick packet captures demonstrates that wget uses CONNECT rather than pulledpork which uses GET method.
Fastest solution would be to permit your snorby box out to the internet for updates bypassing the proxy, until pulledpork supports HTTPS via CONNECT method.