Suggestion: Add optional callback function for proxy connection

[What Comes Around]

Good day!

Just a suggestion. I have already added this locally but would be good to add to the available npm. Basically, say the proxy connection doesn't work. For me, it would be very useful to be able to set a function as a callback that handles the error. For example; The proxy timedout. It runs a function: X. Function X flags the assigned proxy as not working and returns an unused proxy URL. I would make a pull request but I'm self taught and my code is kinda janky half the time, so I think you could do much better than me