I’ve just installed Squid on a separate machine, and from my Rocky 9 it’s working fine, and can connect to the dl.rockylinux.org URL’s that you’ve been trying, eg:
curl -v http://dl.rockylinux.org/pub/rocky/9/BaseOS/x86_64/os/repodata/repomd.xml
It would help to know how your proxy is configured, with what, and what exactly is the configuration. In my example, a basic install of Squid and it’s default config with localnet enabled works perfectly fine. I cannot replicate this issue. Either that, or your IP is perhaps on some kind of restricted list.
Would be good to see if you can connect directly to that URL when bypassing the proxy. If so, then that would confirm that your proxy config is the problem. If it’s still unable to, then that could confirm your IP address being the problem.