Trying to debug the thing, I decided to turn off the SSL Man In the Middle Filtering, just to see if I could get Squid and pfsense on AWS to act as a regular proxy and take it from there. Turns out that that one did not work either :(
I tried a normal, non-ssl, site and still get Access Denied. I wonder if there is something weird with AWS and their network that is acting up on me?
On the Inbound rules I have:
HTTP TCP 80 0.0.0.0/0
Custom UDP Rule UDP 1194 0.0.0.0/0
SSH TCP 22 0.0.0.0/0
Custom TCP Rule TCP 3128 - 3129 0.0.0.0/0
HTTPS TCP 443 0.0.0.0/0
And on outbound, nothing