Can you help me with the procedure?
No. It has nothing to do with pfSense. While I have compiled squid from source before on Ubuntu, that was a few years ago. Perhaps I was unclear. When I said you would need to spin up your own server, I was talking about a Linux box for instance, not another pfSense. Compile squid form source on a Linux box and then use that squid.
Is that could be a security issue?
Nothing to do with security.
A better solution might be to allow this specific user to go around the proxy.
As the squid page notes, this has only been tested up to 32K and your URL is 36K, so it may not even work.