When trying to transfer a file via FTPS through a HTTP proxy (Blue Coat ProxySG), curl fails when trying to open the encrypted DATA connection returning the following error:

curl: (35) error:1408F10B:SSL routines:SSL3_GET_RECORD:wrong version number

This surely happens with recent curl versions (7.39 and 7.40), on Red Hat 6.3.
The transfer works fine instead with previous versions, like 7.19.7, 7.25.0, 7.26.0 and 7.27.0.

Here https://gist.github.com/starless72/64de772a1397bf0e2da3 you can see the log files obtained with the -v option both from 7.40 (not working) and 7.19 (working), from the same Red Hat 6.3 machine over the same proxy.
The logs also contain the output of curl -V and the command line used:

curl -O -v -k --ftp-ssl --disable-epsv --proxy <proxyIP>:3128 --proxytunnel ftp://<ftpUser>:<ftpPassword>@<serverIP>//testpub.xml

Also note that when disabling data channel encryption with the --ftp-ssl-control option then the connection occurs but a different problem happens during the file transfer, see issue #277.