Set up http/https proxy on WSL.

windows_host=`cat /etc/resolv.conf|grep nameserver|awk '{print $2}'`
export http_proxy=http://$windows_host:10811
export https_proxy=http://$windows_host:10811
export HTTP_PROXY=http://$windows_host:10811
export HTTPS_PROXY=http://$windows_host:10811

Remember to check your vpn client port configuration.